摘要
讨论了常利率离散时间更新风险模型,证明了Tk时刻的盈余变量U(k)(k≥0)为齐次马尔可夫链,给出转移概率Q(x,B),得出了破产概率的展式和生存概率所满足的积分方程,并利用鞅的方法得到了最终破产概率的上界估计.
The renewed risk model with constant interest force is discussed. The surplus U（k）（k≥0） at claim occurrence time T=k is a Markov chain with transition probability Q（x,B）. The expansion of ruin probability and the integral equation of survival probability are proposed, and an estimation of upper bound for the ruin probability is derived by the martingale approach.
出处
《甘肃科学学报》
2009年第2期155-158,共4页
Journal of Gansu Sciences
基金
甘肃省教育厅硕士点基金项目
兰州理工大学优秀青年科研基金项目
关键词
破产概率
更新风险模型
转移概率
马尔可夫链
鞅
ruin probability
renewed risk model
transition probability
Markov chain
martingale
