安庆师范学院学报：自然科学版2012，Vol.18Issue(1)：33-37,5.
MA（1）利率模型下的破产概率
Ruin Probability in MA（1） Stochastic Interest Rate Model
摘要
Abstract
In order to study the effects of the factors like interest rate on the ruin probability,we establish a MA（1） stochastic interest model.Recursive and integral equations for its finite and ultimate time ruin probabilities are given,and upper bounds for ultimate time ruin probabilities are obtained by inductive and martingale approaches.Numerical simulation for ruin probabilities and the results generalize the corresponding result of the classical risk model.关键词
MA（1）模型/破产概率/递归法/鞅Key words
MA(1) model/inductive approach/ruin probability/martingale分类
数学引用本文复制引用
胡荣华,李志民..MA（1）利率模型下的破产概率[J].安庆师范学院学报：自然科学版,2012,18(1):33-37,5.基金项目
国家自然科学基金 （）
安徽省自然科学基金（10040606Q03）资助 （）
