摘要
进一步研究离散时间保险风险模型,在利率具有一阶自回归结构的情况下,得到了描述破产严重程度的破产前一时刻的盈余分布与破产持续时间的分布的递推公式.
The paper discusses ruin problems deeply under the discrete time insurance risk model in which the rates of interest are assumed to have a dependent autoregressive structure. Recursive formulas for the distribution of the surplus immediately before ruin and for the distribution of the time in the red which describe the severity of ruin are derived.
出处
《高校应用数学学报（A辑）》
CSCD
北大核心
2005年第3期320-326,共7页
Applied Mathematics A Journal of Chinese Universities(Ser.A)
关键词
离散时间保险风险模型
一阶自回归
破产前一时刻的盈余分布
破
产持续时间的分布
discrete time insurance risk model
autoregressive structure
distribution of the surplus immediately before ruin
distribution of the time in the red which describe the severity of ruin
