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本文考虑一类保费和理赔额均为随机变量,且利率为马氏链的离散时间风险模型。推出了有限时间和最终时间破产概率的递归方程,并用归纳法得到了最终时间破产概率的上界表达式。
In this paper, we consider a discrete-time risk model in which the premiums and claims are both random variables and the interest rate is Markov chains. Introduced the recursive equation of bankruptcy probability of finite time and final time, and obtained the upper bound expression of bankruptcy probability of final time by inductive method.