马氏链利率风险模型的破产理论Ruin theory with a Markov chain interest model

本文得到了该模型的惩罚函数的期望贴现值所满足的积分方程

破产函数

分别给出了该模型破产前盈余、破产后赤字的联合分布以及边缘分布所满足的递归方程

） 摘要： 本文考虑带有马氏链利率的离散风险模型

） Abstract： In this paper we consider a discrete time risk process with a Markov chain interest model

We derive recursive equations satisfied respectively by the joint distribution of surplus immediately before ruin and the deficit at ruin, the distribution of the surplus immediately before ruin, and the distribution of the deficit at ruin

An integral equation for the (expected discounted) penalty function is obtained as a unified method to study ruin quantities with such an investment

Applications of integral equation are given to the Laplace transform of the time of ruin, the deficit at ruin, the amount of claim causing ruin, etc Keywords： Probability; Markov chain; Ruin function; Interest 下载PDF阅读器 PDF全文下载： 初稿 （ 172 ） 作者简介： Yan LIU (1977-), Female, Associate Professor,Insurance Mathematics and Financial Mathematics 通信联系人： 【收录情况】 中国科技论文在线： 刘艳

 马氏链利率风险模型的破产理论[EB/OL]

北京：中国科技论文在线

该结果应用到破产时、破产时赤字及导致破产的索赔等破产度量的研究中

利率 LIU Yan * （ School of Mathematics and Statistics, Wuhan University, 430072

总览 评价 刘艳 * （ 武汉大学数学与统计学院