常利率离散时间更新风险模型的破产概率

Ruin Probabilities in the Discrete Time Renewal Risk Model Under Constant Interest Rate

考虑了常利率离散时间更新风险模型,导出了有限时间不破产概率的递推表达式和最终生存概率的递推表达式,并利用鞅方法得到了最终破产概率的上界估计。

By taking into consideration the discrete time renewal risk model under constant interest rate, this paper obtained recursive algorithm finite -time non -ruin probability, and infinite -time non -ruin probability and its upper bound.