Markov链利率下相依风险模型破产概率的上界

Upper Bounds for Ruin Probabilities in Dependent Risk Model with Markov Chain Interest Rate

考虑一类离散时间风险模型的破产问题.模型中假设保费过程和理赔过程都具有一阶自回归结构(AR(1)),并且利率过程是取值于可数状态空间的齐次Markov链.针对保费在期初收取和期末收取两种不同的情况,用鞅方法得到了其各自破产概率的上界.

We considered ruin problems for a class of discrete tim e risk model.In this model,the interest rates follow a Markov chain with a den umerable state space,and both the premiums and claims are assumed to have d ependent AR（1） structures.Using martingale approach,we derived the upper bounds fo r ruin probabilities of the models,in which the premiums are received at the be ginning of each period and at the end of each period,respectively.We also disc ussed their applications.