| 具有一阶相依利息率的风险模型的破产问题 |
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| 引用本文： | 钟朝艳.具有一阶相依利息率的风险模型的破产问题[J].曲靖师范学院学报,2006,25(6):42-44. |
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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： | 在利率具有一阶自回归相依结构,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,初始准备金为u时,保险公司破产前最大盈余分布函数满足的积分方程以及盈余首次低于某一个预警水平x的时间分布的递推公式和破产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 利率 破产前最大盈余的分布 递推公式 |
| 文章编号： | 1009-8879(2006)06-0042-03 |
| 修稿时间： | 2006年9月25日 |
Ruinning Problem for a Risk Model under Interest Rates with Autoregressive Structure of Order One |
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| Zhong Chaoyan.Ruinning Problem for a Risk Model under Interest Rates with Autoregressive Structure of Order One[J].Journal of Qujing Normal College,2006,25(6):42-44. |
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| Authors: | Zhong Chaoyan |
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| Abstract: | A discrete time risk model under interest rates with autoregressive structure of order one is discussed in this paper.By using the renewal recurrence technique,the integral equation of the distribution of maximum surplus before bankruptcy and the recursive expressions of the time distribution of surplus at the first time below a given level x are obtained.Based on this,a recursive formula of time distribution of ruin is also deduced in this paper. |
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| Keywords: | the discrete time risk model autoregressive structure of order one rates of interest the distribution of maximum surplus before bankruptcy recursive formula |
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