离散时间保险风险模型的破产问题

Ruin Problems for the Discrete Time Insurance Risk Model

  • 摘要: 本文研究了引入利率的离散时间保险风险模型,得到了描述破产严重程度的破产前盈余分布、破产持续时间分布的递推公式,并对具体实例给出数值计算结果.

     

    Abstract: In this paper we discuss ruin problems under the discrete time insurance risk model with interest. We derive the expressions of the distribution of the surplus immediately before ruin and the distribution of the time in the red which describe the severity of ruin. Recursive formulas has been obtained and the numerical results for a concrete example are also given.

     

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