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.
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