By recursive method and Martingale method, we derive the integral equation for the survival probability and obtain the exponential inequality for the ruin probability.
本章主要通过递推方法和鞅方法得出生存概率所满足的积分方程以及破产概率上界。
2
The differential and integral equation for survival probability and a upper bound of ruin probability are given by using renewal theory and stochastic process approach.