带马氏链利率的离散风险模型的破产概率

Ruin Probabilities in a Discrete Time Risk Model with a Markov Chain Interest

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.

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.