摘要
本文考虑了带随机利率的离散时间风险模型.在假设利率为马氏链条件下,得到了有限时间和最终破产概率所满足的递推积分方程,以及最终破产概率的Lundberg不等式.
In this paper, we consider a discrete time risk assumption that the interest rate process behaves as tions and integral equations for finite and ultimate for the ultimate ruin probabilities are also provided process with random interest force. With the a Markov chain, we obtain the recursive equa- ruin probabilities, and Lundberg inequalities
出处
《应用概率统计》
CSCD
北大核心
2012年第3期270-276,共7页
Chinese Journal of Applied Probability and Statistics
基金
Supported by the National Natural Science Foundation of China(10671149)
the Foundation of the Hubei Provincial Department of Education(B20091107)
Hubei Province Key Laboratory of Systems Science in Metallurgical Process(Wuhan University of Science and Technology)(C201006)
