摘要
考虑一种具有随机利率的离散时间的保险风险模型,在保费收取量和理赔量都离散取非负整数值时,运用转移概率推导出了破产概率的近似计算公式及误差估计式,并且得到了破产概率的一个上界和一个下界.
In this paper, we consider the ruin probability of a discrete time risk model with stochastic rates of interest. We assume that the premium incomes and claims are independent sequences of i. i. d. non- negative random variables, and the model is modified by the inclusion of random interest rate on the sur- plus. Approximation, upper bound and lower bound for the ultimate ruin probability are derived.
出处
《湘潭大学自然科学学报》
CAS
CSCD
北大核心
2009年第2期17-22,共6页
Natural Science Journal of Xiangtan University
基金
国家自然科学基金资助项目(10871064)
湖南省教育厅科研资助项目(08C883)
关键词
风险模型
随机利率
转移概率
破产概率
近似公式
上下界
risk model
stochastic rate of interest
transition probability
ruin probability
approximation
upper/lower bound
