| 具有相依利息率的离散时间保险风险模型的破产问题 |
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| 引用本文： | 孔繁超,于莉.具有相依利息率的离散时间保险风险模型的破产问题[J].高校应用数学学报(A辑),2005,20(3):320-326. |
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| 作者姓名： | 孔繁超 于莉 |
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| 作者单位： | 1. 安徽大学,数学系,安徽合肥,230039
2. 合肥工业大学,理学院,安徽合肥,230009 |
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| 摘 要： | 进一步研究离散时间保险风险模型，在利率具有一阶自回归结构的情况下，得到了描述破产严重程度的破产前一时刻的盈余分布与破产持续时间的分布的递推公式．
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| 关 键 词： | 离散时间保险风险模型 一阶自回归 破产前一时刻的盈余分布 破 产持续时间的分布 |
| 文章编号： | 1000-4424（2005）03-0320-07 |
| 收稿时间： | 2004-12-06 |
| 修稿时间： | 2004-12-06 |
Ruin problems for the discrete time insurance risk model with dependent rates |
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| KONG Fan-chao,YU Li.Ruin problems for the discrete time insurance risk model with dependent rates[J].Applied Mathematics A Journal of Chinese Universities,2005,20(3):320-326. |
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| Authors: | KONG Fan-chao YU Li |
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| Abstract: | The paper discusses ruin problems deeply under the discrete time insurance risk model in which the rates of interest are assumed to have a dependent autoregressive structure. Recursive formulas for the distribution of the surplus immediately before ruin and for the distribution of the time in the red which describe the severity of ruin are derived. |
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| Keywords: | discrete time insurance risk model autoregressive structure distribution of the surplus immediately before ruin distribution of the time in the red which describe the severity of ruin |
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