Junfen Li, Zhang Shu-guang, Dan-dan Pu
Abstract
In the present paper, we establish a risk model with dependent variable interest rate in the discrete market, and study the relationship between the survival function and bankruptcy probability. Furthermore, ruin probability with the risk model are obtained by new method.
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In the present paper, we establish a risk model with dependent variable interest rate in the discrete market, and study the relationship between the survival function and bankruptcy probability. Furthermore, ruin probability with the risk model are obtained by new method.
Key concepts: Interest rate, Econometrics, Bankruptcy, Risk model, Mathematics, Variable (mathematics), Short-rate model, Statistics