基于离散时间风险模型下的亏损破产概率的研究

新定义离散时间风险模型下的亏损破产概率为初始盈余u,亏损额度不大于y的破产概率。利用离散时间风险模型下的终时破产概率的计算规律,得到初始盈余水平在不同条件下的亏损破产概率的具体表达形式,并且数值模拟了一定条件下不同参数取值对亏损破产概率的影响情况,数据表明当亏损边界固定时,随着初始盈余水平的增加,亏损破产概率水平逐渐减小;当初始盈余水平固定时,随着亏损边界的增加,亏损破产概率水平逐渐增多。

Research on Loss Ruin Probability Based on Discrete Time Risk Model

New definition of loss ruin probability under discrete time risk model was the probability with initial surplus of and loss amount no more than.Using the calculation rule of end time ruin probability under discrete time risk model,the specific expression of the loss ruin probability under different initial surplus levels was obtained,and numerical simulation of influence of different parameters on the probability of loss Ruin under certain conditions was done.The data showed that the loss ruin probability decreased gradually with the increase of the initial surplus level when the loss boundary was fixed;the loss ruin probability increased with the increase of the loss boundary when the initial surplus level was fixed.