| 带马氏链利率的离散风险模型的破产概率 |
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| 引用本文： | 刘家有.带马氏链利率的离散风险模型的破产概率[J].合肥学院学报(自然科学版),2006,16(2):15-18. |
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| 作者姓名： | 刘家有 |
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| 作者单位： | 暨南大学,华文学院,广州,510610 |
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| 摘 要： | 研究了带马尔科夫链利率的完全离散时间风险模型的有限时间和最终时间破产概率,给出了破产概率的递归方程和积分方程.当利率非负时,用鞅方法给出了推广的最终时间破产概率的Lundberg不等式.
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| 关 键 词： | 离散时间风险模型 马尔科夫链 利率 破产概率 Lundberg不等式 |
| 文章编号： | 1673-162X(2006)02-0015-04 |
| 修稿时间： | 2006年1月9日 |
Ruin Probabilities in a Discrete Time Risk Model with a Markov Chain Interest |
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| LIU Jia-you.Ruin Probabilities in a Discrete Time Risk Model with a Markov Chain Interest[J].Journal of Hefei University :Natural Sciences,2006,16(2):15-18. |
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| Authors: | LIU Jia-you |
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| Abstract: | This paper studies finite and infinite time ruin probabilities in a completely discrete time risk model with a Markov chain interest.Recursive and integral equations for the ruin probabilities are given.When interest rates are non-negative,generalized Lundberg inequality for the infinite time ruin probability is derived by martingale approach. |
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| Keywords: | completely discrete time risk model Markov chain Interest rate ruin probability Lundberg's inequality |
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