随机利率下多险种时间盈余风险模型的破产概率

Ruin Probability of a Multi-Type Risk Model about Time Surplus Process with Stochastic Interest

考虑随机利率下多险种时间盈余过程,证明了随机利率下多险种时间盈余过程与随机利率下多险种经典盈余过程的一致性,并得到相应的破产概率的计算公式,所得破产概率比不考虑利率因素的破产概率略小些,且更接近真实值。

The multi--type time surplus process with stochastic interest is considered in this article. We prove that the multi--type time surplus process with stochastic interest corresponds to the classical one. A corresponding calculate formula is gained so that the corresponding ruin probability is smaller than which without considering stochastic interest.