随机利率下离散时间保险风险模型

The Discrete Time Risk Model Under Stochastic Rate

研究随机利率下离散时间保险风险模型.在适当的条件下利用鞅技巧,给出了最终破产概率的Lundberg界.并研究了当保费为常数和理赔额服从Γ-分布时的特殊情形.

This paper studies the discrete time risk model with stochastic rate. The Lundberg bound of ruin probability is obtained by martingale method under suitable condition. We study the special status when the premimum is constant and the claim is discribed by Г-distribution.