| 离散的三项分布风险模型的渐近解 |
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| 引用本文： | 王汉兴,傅云斌.离散的三项分布风险模型的渐近解[J].运筹学学报,2006,10(3):99-108. |
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| 作者姓名： | 王汉兴 傅云斌 |
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| 作者单位： | 上海立信会计学院中国立信风险管理研究院,上海,201620 |
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| 摘 要： | 本文研究了离散的三项分布风险模型,在调节系数存在的前提下,借助于离散更新方程的一个极限定理,对于充分大的初始盈余给出了最终破产概率、破产前一刻的盈余和破产时赤字的概率的渐近解．其结果可以在离散的多项分布风险模型中得到推广．
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| 关 键 词： | 运筹学 最终破产 破产前一刻的盈余 调节系数 破产时赤字 更新方程 |
| 收稿时间： | 2005-08-18 |
| 修稿时间： | 2005-08-18 |
Trinomial Distribution Risk Model in Discrete Setting and the Asymptotic Formulae |
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| Wang Hanxing,Fu Yunbin.Trinomial Distribution Risk Model in Discrete Setting and the Asymptotic Formulae[J].OR Transactions,2006,10(3):99-108. |
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| Authors: | Wang Hanxing Fu Yunbin |
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| Institution: | China Lixin Risk Management Research Institute, Shanghai Lixin Univ. of Commerce, Shanghai 201620, China. |
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| Abstract: | The trinomial distribution risk model in discrete setting is explored in this pa- per.Under the assumption for existence of the adjustment coefficient,the asymptotic formulae for the ultimate ruin probability,the probabilities of surplus immediately before ruin and the deficit at ruin are given for sufficiently large initial surlus by means of a discrete key renewal limit theorem.The results can be generalized in the multinomial distribution risk model. |
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| Keywords: | Operations research ultimate ruin surplus immediately before ruin adjustment coefficient deficit at ruin renewal theory |
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