| 带有变利率的离散时间风险模型的破产分布 |
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| 引用本文： | 于莉,詹晓琳.带有变利率的离散时间风险模型的破产分布[J].合肥工业大学学报(自然科学版),2009,32(2). |
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| 作者姓名： | 于莉 詹晓琳 |
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| 作者单位： | 1. 合肥工业大学,数学系,安徽,合肥,230009
2. 上海第二工业大学,理学院,上海,201209 |
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| 基金项目： | 合肥工业大学科学研究发展基金，上海高校选拔优秀青年教师科研专项基金 |
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| 摘 要： | 文章在将常值利率推广到变利率的情况下,研究了变利率的离散时间保险风险模型;得到了破产前最大盈余的分布、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： | 变利率 离散时间保险风险模型 破产前最大盈余 破产后赤字 |
Ruin time distributions for the discrete time insurance risk model with changeable rates |
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| YU Li,ZHAN Xiao-lin.Ruin time distributions for the discrete time insurance risk model with changeable rates[J].Journal of Hefei University of Technology(Natural Science),2009,32(2). |
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| Authors: | YU Li ZHAN Xiao-lin |
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| Institution: | 1.Dept.of Mathematics;Hefei University of Technology;Hefei 230009;China;2.School of Sciences;Shanghai Second Polytechnic University;Shanghai 201209;China |
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| Abstract: | This paper deals with ruin problems under the discrete time risk model with changeable rates.Under the condition of aggregating constant rates to changeable rates,the recursive expressions are derived of the supremum surplus distribution before ruin,supremum surplus before ruin,deficit after ruin and the joint distribution of surplus before ruin.The time when the surplus process reaches a given level x for the first time is obtained. |
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| Keywords: | changeable rate discrete time insurance risk model supremum before ruin deficit after ruin |
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