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牛祥秋 (辽宁师范大学 数学学院,辽宁 大连 116029) 
中文关键词:概率论  上界    比例再保险  破产概率  Markov链利率
Upper Bound for the Ruin Probability Under Risk Model of Reinsurance with Markov Chain Interest Rate
Abstract:Upper bounds for the ruin probability of reinsurance were studied in a discrete time risk model. To reduce the risk, there is a possibility to reinsure a part or the whole reserve. In the model, the time between the occurrence of the claims and the claims were assumed to be the AR(1) structure, the interest rates followed a Markov chain with a denumerable state space. The risk model of proportional reinsurance was considered. The upper bounds for the ruin probability were derived both by renewal recursive technique and martingale method. As an important indicator of the abilities of solvency and risk management, the research of the ruin probability can provide an important basis for reinsurer's major decisions, so it has important theoretical and practical significance.
keywords:probability theory  upper bound  Martingale  proportional reinsurance  Markov chain interest rate
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