| 马氏利率的离散时间风险模型的破产概率 |
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| 引用本文： | 朱启香.马氏利率的离散时间风险模型的破产概率[J].吉首大学学报(自然科学版),2012,33(5):31-33. |
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| 作者姓名： | 朱启香 |
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| 作者单位： | （河南理工大学数学与信息科学学院，河南 焦作 454003） |
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| 摘 要： | 研究一类保费和理赔额均为随机变量、利率为马氏链的离散时间风险模型的破产概率，推出了有限时间和最终时间破产概率的递归方程，并用归纳法得到最终时间破产概率的上界估计.
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| 关 键 词： | 离散时间风险模型 马氏链 破产概率 利率 |
Ruin Probabilities for Discrete Time Risk Models with Markov Interest Rates |
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| ZHU Qi-xiang.Ruin Probabilities for Discrete Time Risk Models with Markov Interest Rates[J].Journal of Jishou University(Natural Science Edition),2012,33(5):31-33. |
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| Authors: | ZHU Qi-xiang |
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| Institution: | (College of Mathematics and Information Science,Henan Polytechnic University，Jiaozuo 454003，Henan China) |
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| Abstract: | A discrete time model with random premium income,random claim amount and Markov interest rates is studied.Recursive and integral equations for its finite and ultimate time ruin probabilities are derived,and a upper bound for the ultimate time ruin probability is obtained by inductive approaches. |
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| Keywords: | discrete time risk model Markov chain ruin probabilities interest rates |
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