作　　者： ; ;

机构地区： 暨南大学经济学院统计学系

出　　处： 《科学技术与工程》 2010年第24期5976-5980,共5页

摘　　要： 在随机利率服从Markov链下,建立起带随机利率的离散风险过程模型。重点探讨了破产前后盈余的情况。分别给出了破产前一刻盈余和破产赤字的分布的积分表达式。由此推导得出最终破产概率的积分表达式。最后讨论了在利率为非负情况下破产概率的一个上界,改进已往的结论,并且对利率为0≥Ii>-1情况下给出了最终破产概率的下界。 A discrete time risk process with a Markov chain interest model is setup,The surplus before and after the ruin happens are discussed mainty, and it also respectively obtains the integral expression of the distribution of surplus before ruin and the surplus immediately after ruin are obtained respectively, then derives the integral expression of the ruin probability is derive. Finally it focus on the upper bound of the ruin probability with the interest being non-negative is descussed, which can improve the related result in the past, and the lower bound of the ruin probability under the case of interest being 0 ≥ Ii 〉 - 1.

关 键 词： 离散时间风险模型 链 破产概率 鞅方法 上下界

领　　域： [理学] [理学]