Upper bound for finite-time ruin probability in a Markov-modulated market

被引：2

作者：

Li, Jinzhu ^{[1
,2
]}

Wu, Rong ^{[1
,2
]}

机构：

[1] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

[2] Nankai Univ, LPMC, Tianjin 300071, Peoples R China

来源：

JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY | 2011年 / 24卷 / 02期

关键词：

Finite-time ruin probability; jump-diffusion model; Markov-modulated process; OPTIMAL INVESTMENT;

D O I：

10.1007/s11424-010-8348-6

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper studies the upper bound for finite-time ruin probability of an insurance company which invests its wealth in a stock and a bond. The authors assume that the interest rate of the bond and the volatility of the stock are modulated by a continuous-time stationary Markov chain with finite state. By a pure probabilistic method, the upper bound for the finite-time ruin probability is obtained.

引用

页码：308 / 316

页数：9

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