马氏利率的离散时间风险模型的破产概率

Ruin Probabilities for Discrete Time Risk Models with Markov Interest Rates

研究一类保费和理赔额均为随机变量、利率为马氏链的离散时间风险模型的破产概率,推出了有限时间和最终时间破产概率的递归方程,并用归纳法得到最终时间破产概率的上界估计.

A discrete time model with random premium income, random claim amount and Markov interest rates is studied. Recursive and integral equations for its finite and ultimate time ruin probabilities are derived,and a upper bound for the ultimate time ruin probability is obtained by inductive approaches.