| 相关利率离散时间风险模型的破产分布 |
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| 引用本文： | 于莉,杜雪樵.相关利率离散时间风险模型的破产分布[J].科学技术与工程,2007,7(19):4804-4808. |
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| 作者姓名： | 于莉 杜雪樵 |
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| 作者单位： | 合肥工业大学理学院,合肥,230009 |
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| 基金项目： | 合肥工业大学概率论与数理统计精品课程建设项目资助 |
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| 摘 要： | 在利率具有一阶自回归结构的情况下,进一步研究离散时间风险模型,得到了破产前最大盈余分布,破产前盈余、破产后赤字与破产前最大盈余的联合分布以及首达某一水平x的时间分布的递推公式。
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| 关 键 词： | 离散时间风险模型 一阶自回归 盈余分布 破产后赤字 |
| 文章编号： | 1671-1819(2007)19-4804-05 |
| 修稿时间： | 2007-06-18 |
Ruin Problems for the Discrete Time Insurance Risk Model with Dependent Rates |
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| YU Li,DU Xue-qiao.Ruin Problems for the Discrete Time Insurance Risk Model with Dependent Rates[J].Science Technology and Engineering,2007,7(19):4804-4808. |
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| Authors: | YU Li DU Xue-qiao |
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| Institution: | School of Science in Hefei University of Technology; Hefei 230009,P. R. China |
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| Abstract: | Ruin problems are discussed deeply under the discrete time insurance risk model in which the rates of interest are assumed to have a dependent autoregressive structure. The recursive expressions is derived of the supreme surplus before ruin and the joint distribution of surplus before ruin and deficit after ruin and supreme surplus before ruin , the time that the surplus process reach a given level x for the first time are obtained. |
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| Keywords: | discrete time insurance risk model autoregressive structure supremum deficit after ruin |
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