相依利率下离散时间再保险模型的破产问题

本文研究了离散时间一般再保险模型的破产概率, 得出利率为一阶自回归情形下的破产概率满足的微积分方程, 利用递推方法给出破产概率的上界, 并将结果分别运用于比例再保险和超额损失再保险的情形, 最后运用图表对文中得出的结论进行了说明.

Ruin Problems for the Discrete Time Model of General Reinsurance with Dependent Rates of Interest

In this paper, we consider a discrete-time process driven by general reinsurance and an interest rate process. The rate of interest is assumed to have a dependent autoregressive structure. We obtain the recursive and integral equations for ruin probability, and the upper bound of ruin probability is given with recursive method. The results were applied to the proportional reinsurance and excess of loss treaty. To illustrate these results, some numerical examples are included.