随机利率场合下一类离散时间模型的破产概率

On the ruin probability in the discrete risk model with stochastic interest rate

研究了带有随机利率的一个离散时间风险模型中的破产概率,得到了在通货膨胀和通货紧缩条件下关于破产概率的若干定性结果,所得结果推广了常数利率下经典模型的相应结果.

A study of ruin probabilities in a discrete time risk model with stochastic rate is made in this paper. Some results for ruin probabilities are obtained in cash inflation and case condensation. Moreover, an iterate formula has also been proposed by which we ruin probabilities in finite time can be calculated. The results obtained generalize the classical models with constant rate.