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带息力的更新风险模型下的破产概率的计算 被引量：12

Calculation of Ruin Probabilities under a Renewal Risk Model with Interest Force
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摘要 除破产概率外,刻画保险公司的破产风险还可以利用破产前瞬间盈余的分布和破产时赤字的分布通过对引入息力的风险模型的研究,得到了描述破产前瞬间盈余和破产时的赤字的分布的递推算法。 Apart from ruin probability, the distribution of surplus immediately before ruin and that of deficit at ruin can also be used to characterize the risk of ruin in a insurance company In this paper, these distributions are studied with a renewal risk model under interest force; the recursive algorithms and integral equations for the distributions are obtained.
作者 林庆敏 汪荣明
机构地区 华东师范大学统计系
出处 《华东师范大学学报（自然科学版）》 CAS CSCD 北大核心 2005年第1期46-52,共7页 Journal of East China Normal University(Natural Science)
基金 国家自然科学基金(70271001)国家社会科学基金项目(03BTZ006)上海市曙光计划项目(04SG27)上海市科委基础研究重点项目(02DJ 14063)
关键词 利息力 更新风险模型 破产前瞬间盈余 破产时赤字 interest force renewal risk model surplus immediately before ruin deficit at rum
分类号 O211.6 [理学—概率论与数理统计]
  • 相关文献

参考文献8

  • 1Sundt B, Teugels J L. Ruin estimates under interest force[J]. Insurance: Mathematics and Economics, 1995,16:7～22.
  • 2Sundt B, Teugels J L. The adjustment function in ruin estimates under interest force[J]. Insurance: Mathematics and Economics, 1997, 19:85 ～94.
  • 3Yang H L, Zhang L H. On the distribution of surplus immediately after ruin under interest force[J]. Insurance:Mathematics and Economics, 2001, 29: 247～255.
  • 4Yang H L, Zhang L H. On the distribution of surplus immediately before ruin under interest force[J]. Statistics and Probability Letters, 2001, 55: 329～338.
  • 5Yang H L, Zhang L H. The joint distribution of surplus immediately before ruin and the deficit at ruin under interest force[J]. North American Actuarial Journal, 2001, 5(3): 92～103.
  • 6Dufrense F, Gerber H U. The surplus immediately before and at ruin and the amount of the clain causing ruin[J]. Insurance: Mathematics and Economics, 1988, 7: 193～199.
  • 7Gerber H V, Goovaerts M J, Kass R. On the probalility and severity of ruin[J]. Astin Bulletin, 1987, 17(2):151～163.
  • 8吴荣,杜勇宏.常利率下的更新风险模型[J].工程数学学报,2002,19(1):46-54. 被引量：30

二级参考文献6

  • 1[1]Delbaen F,Haezendonck J. Classical risk theory in an economic environment[J]. Insurance:Mathematics and Economics,1987;6:85-116
  • 2[2]Dickson D C M,dos Reis A D E. Ruin problems and dual events[J]. Insurance:Mathematics and Economics,1994;14:51-60
  • 3[3]Dufresne F,Gerber H U. The surplusimmediately before and at ruin, and the amount of the claim causing ruin[J]. Insurance:Mathematics and Economics ,1988;7:193-199
  • 4[4]Gerber, Goovaerts,Kass. On the probability and severity of ruin[J]. ASTIN Bulletin 1987;17:151-163
  • 5[5]Sundt B,Teugels J L. Ruin estimates under interest force[J]. Insurance:Mathematics and Economics 1995;16:7-22
  • 6[6]张丽宏. Ruin theory under compound poisson model with constant interest force[D]. 博士论文,2001

共引文献29

同被引文献48

引证文献12

二级引证文献15

华东师范大学学报（自然科学版）
2005年 第1期

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