| 常利率离散时间更新风险模型的破产概率 |
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| 引用本文： | 张彩宁,刘再明.常利率离散时间更新风险模型的破产概率[J].榆林高等专科学校学报,2007,17(6):25-27. |
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| 作者姓名： | 张彩宁 刘再明 |
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| 作者单位： | 中南大学数学科学与计算技术学院 湖南长沙410075 |
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| 摘 要： | 考虑了常利率离散时间更新风险模型,导出了有限时间不破产概率的递推表达式和最终生存概率的递推表达式,并利用鞅方法得到了最终破产概率的上界估计。
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| 关 键 词： | 离散时间 风险模型 破产概率 鞅 利率 |
| 文章编号： | 1008-3871（2007）06-0028-03 |
| 修稿时间： | 2007-04-02 |
Ruin Probabilities in the Discrete Time Renewal Risk Model under Constant Interest Rate |
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| ZHANG Cai-ning,LIU Zai-ming.Ruin Probabilities in the Discrete Time Renewal Risk Model under Constant Interest Rate[J].Journal of Yulin College,2007,17(6):25-27. |
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| Authors: | ZHANG Cai-ning LIU Zai-ming |
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| Institution: | Department of Mathematics, Central South University, Hunan, Changsha,410075 |
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| Abstract: | By taking into consideration the discrete time renewal risk model under constant interest rate,this paper obtained recursive algorithm finite-time non-ruin probability,and infinite-time non-ruin probability and its upper bound. |
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| Keywords: | discrete time risk model ruin probability Martingale interest rate |
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