利率为常数的离散时间风险模型的破产概率

2012 Second International Conference on Instrumentation, Measurement, Computer, Communication and Control Pub Date : 2012-12-08 DOI:10.1109/IMCCC.2012.101

Luo Xuan, Gao Jingli

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引用次数: 0

摘要

本文考虑带有利率的离散时间保险风险模型。首先证明盈余是马尔可夫链。其次利用马尔可夫链得到破产概率的级数展开式和破产时刻剩余量分布的积分方程。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Ruin Probability in Discrete Time Risk Model with Constant Interest Rate

In this paper we consider the discrete time insurance risk model with interest rate. First we prove the surplus is Markov chain. Second we use the Markov chain get series expansion and the integral equation of ruin probability and the surplus distribution at ruin moment.

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来源期刊

2012 Second International Conference on Instrumentation, Measurement, Computer, Communication and Control

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