利率为马氏链的离散时间风险模型的破产概率

Ruin Probabilities for the Discrete Risk Models with Markov Chain Interest

  • 摘要: 本文考虑了带随机利率的离散时间风险模型. 在假设利率为马氏链条件下, 得到了有限时间和最终破产概率所满足的递推积分方程, 以及最终破产概率的Lundberg不等式.

     

    Abstract: In this paper, we consider a discrete time risk process with random interest force. With the assumption that the interest rate process behaves as a Markov chain, we obtain the recursive equations and integral equations for finite and ultimate ruin probabilities, and Lundberg inequalities for the ultimate ruin probabilities are also provided.

     

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