| Markov’s利率风险模型下破产概率 |
| |
| 引用本文： | 李俊海.Markov’s利率风险模型下破产概率[J].井冈山学院学报,2009,30(2):26-28. |
| |
| 作者姓名： | 李俊海 |
| |
| 作者单位： | 河南工业大学,理学院,河南,郑州,450001
|
| |
| 基金项目： | 河南省教育厅资助项目，河南工业大学科学研究基金 |
| |
| 摘 要： | 分析与研究了带利率离散风险模型。在利率序列（Ii）是一个Markov＇s链且-1〈Ii≤0的条件下，利用鞅方法，得到了破产概率的一个下界和一个上界，推广了文献4]的结论。
|
| 关 键 词： | 随机利率 破产概率 鞅方法 上界 |
Ruin probability of discrete risk model with Markov's interest |
| |
| LI Jun-hai.Ruin probability of discrete risk model with Markov''s interest[J].Journal of Jinggangshan University,2009,30(2):26-28. |
| |
| Authors: | LI Jun-hai |
| |
| Institution: | School of Mathematics;Henan University of Technology;Zhengzhou 450001;China |
| |
| Abstract: | In this paper, the discrete risk model with interest is studied. Under the condition of that the sequence of interest rate {Ii } is a Markov＇s chain and -1〈Ii≤0, an super-bound and a sub-bound of ruin probability are obtained by martingale method. |
| |
| Keywords: | stochastic interest ruin probability martingale method bound |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
