Ruin Probability in Discrete Time Risk Model with Constant Interest Rate

被引：0
|
作者：
Luo Xuan [1 ]
Gao Jingli [2 ]
机构：
[1] Informat Engn Univ, Coll Sci, Zhengzhou, Peoples R China
[2] Henan Inst Mech & Elect Engn, Fundermental Dept, Zhengzhou, Peoples R China
来源：
PROCEEDINGS OF THE 2012 SECOND INTERNATIONAL CONFERENCE ON INSTRUMENTATION & MEASUREMENT, COMPUTER, COMMUNICATION AND CONTROL (IMCCC 2012) | 2012年
关键词：
discrete time insurance risk model; Markov chain; Ruin probability; Integral equation;
D O I：
10.1109/IMCCC.2012.101
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
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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页码：411 / 413
页数：3
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