| 折现率离散时间风险模型下最大赤字问题 |
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| 引用本文： | 古再丽努尔·阿布都卡地尔,吴黎军.折现率离散时间风险模型下最大赤字问题[J].经济数学,2014(3):23-25. |
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| 作者姓名： | 古再丽努尔·阿布都卡地尔 吴黎军 |
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| 作者单位： | [1]新疆农业大学 数理学院,新疆乌鲁木齐830052; [2]新疆大学 数学与系统科学学院,新疆乌鲁木齐830046 |
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| 基金项目： | 国家自然基金资助项目（11361058） |
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| 摘 要： | 在引入折现率的条件下研究离散时间风险模型,运用递推方法和全概率公式,得到了破产前盈余,破产后赤字以及它们的联合分布所满足的微分积分方程,作为推论得到了破产概率所满足的微积分方程并得出结论.
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| 关 键 词： | 折现率 离散时间风险模型 破产概率 破产赤字 |
Largest Deficit Problems for the Discrete Time Risk Model with Discount Rate |
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| Guzalnur Abdukader,WU Li-jun.Largest Deficit Problems for the Discrete Time Risk Model with Discount Rate[J].Mathematics in Economics,2014(3):23-25. |
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| Authors: | Guzalnur Abdukader WU Li-jun |
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| Institution: | Guzalnur Abdukader, WU Li-jun ( 1. College of Mathematics and Physics, Xinjiang Agricultural University, Urumqi, Xinjiang 830052 ,China ; 2. Collegeof Mathematics and Systems Science, Xinjiang University, Urumqi,Xinjiang 830046,China) |
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| Abstract: | We considered a discrete time risk model with discount rate.By using the recursive method and probability formulas we obtained,recursion formulas for distribution of the surplus just before ruin,the distribution of the surplus imme-diately after ruin,the joint distribution of the surplus immediately before and after ruin.Moreover,as a corollary,the integral equations for the ruin probability were also derived. |
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| Keywords: | discounted rate discrete time risk model ruin probability distribution of the deficit after ruin |
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