MA（1）利率模型下的破产概率

摘要

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.%为了更好地研究利率因素对破产概率的影响,考虑两种广义破产模型,建立MA（1）利率模型,运用递归法给出有限时间和最终时间破产概率的积分方程和最终破产概率的上界表达式。对破产概率进行数值模拟,所得结果推广了古典风险模型的相应结果。