| 带相依利率结构风险模型的破产持续时间 |
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| 引用本文： | 钟朝艳.带相依利率结构风险模型的破产持续时间[J].曲靖师范学院学报,2007,26(3):20-23. |
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| 作者姓名： | 钟朝艳 |
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| 作者单位： | 曲靖师范学院,数学系,云南,曲靖,655011 |
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| 摘 要： | 在利率具有二阶自回归相依结构,同时考虑到保费、理赔支付时间的离散时间风险模型下,得到了在停时T,保险公司在初始准备金为u时,破产持续时间的分布的递推公式.
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| 关 键 词： | 离散时间风险模型 二阶自回归 利率 破产持续时间 |
| 文章编号： | 1009-8879（2007）03-0020-04 |
| 修稿时间： | 2007-03-25 |
The Duration of Ruin for the Risk Model under Interest Rates with Autoregressive Structure |
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| Zhong Chaoyan.The Duration of Ruin for the Risk Model under Interest Rates with Autoregressive Structure[J].Journal of Qujing Normal College,2007,26(3):20-23. |
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| Authors: | Zhong Chaoyan |
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| Institution: | Department of Mathematics, Qujing Normal University, Qujing Yunnan 655011, China |
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| Abstract: | A discrete time risk model under interest rates with autoregressive structure of order 2 is discussed in this paper.Then,by using the renewal recurrence technique,the recursive expressions for the duration of ruin probability are obtained in this paper. |
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| Keywords: | the discrete time risk model autoregressive structure of order 2 rates of interest the duration of ruin |
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