随机利率离散时间风险模型的破产问题

本文研究了引入随机利率的离散时间风险模型, 得到了破产持续时间的分布、盈余回复为正后的瞬间的盈余分布、 破产前最大盈余的分布、破产前盈余破产后赤字与破产前最大盈余的联合分布、 有限时间内穿出水平$x$的分布所满足的积分方程, 并同时证明了所得积分方程解的存在唯一性.

Ruin Problems for the Discrete Time Risk Model under Stochastic Rates of Interest

The discrete time risk model under stochastic rates of interest is discussed in this paper. The distribution of the sustainable period of ruin, the distribution of surplus immediately when surplus turns back positive, the distribution of supreme surplus before ruin, the joint distribution of surplus before ruin and deficit at ruin and supreme surplus before ruin, the time that the surplus process reach a given level $x$ for the first time are derived in this paper.