| 离散经典风险模型破产概率的递推解及算法实现与比较 |
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| 引用本文： | 汤薇薇,王汉兴.离散经典风险模型破产概率的递推解及算法实现与比较[J].上海大学学报(自然科学版),2005,11(1):63-66. |
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| 作者姓名： | 汤薇薇 王汉兴 |
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| 作者单位： | 上海大学,理学院,上海,200444;上海大学,理学院,上海,200444 |
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| 摘 要： | 该文重点研究完全离散经典风险模型任意初始盈余下最终破产概率的递推解，并结合中国保险业具体数据加以分析，在Matlab中实现了算法的应用和数据比较．
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| 关 键 词： | 复合二项模型 最终破产概率 递推解 Matlab算法 |
| 文章编号： | 1007-2861(2005)01-0063-04 |
| 修稿时间： | 2004年1月8日 |
An Improved Recursive Solution to Ruin Probability in Classical Discrete Risk Model, Its Implementation and Comparison |
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| TANG Wei-wei,WANG Han-xing.An Improved Recursive Solution to Ruin Probability in Classical Discrete Risk Model, Its Implementation and Comparison[J].Journal of Shanghai University(Natural Science),2005,11(1):63-66. |
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| Authors: | TANG Wei-wei WANG Han-xing |
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| Abstract: | The classical risk model in full discrete setting is studied, and recursive solutions to the (ultimate) ruin probability for arbitrary initial surplus discussed. In particular, an improved recursive solution is obtained. It is analyzed with respect to the real data from China's insurance industry. The (algorithm) is implemented with Matlab, and the numerical results investigated. |
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| Keywords: | compound binominal model probability of ultimate ruin recursive solution Matlab |
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