摘要
研究了带随机利率的双二项风险模型的破产问题,得到了终极破产概率的上界、描述破产严重程度的破产前盈余分布和破产赤字的联合分布的递推公式,进而得到了终极破产概率、破产前盈余和破产瞬时盈余满足的积分方程.
Bankruptcy under double binomial risk model with random interestrate is discussed. Upper bound for the ultimate ruin probability and the recursive formula for the joint distribution of surplus immediately before ruin and deficit at ruin are derived. Furthermore, the integration equation for ultimate ruin probability and surplus immediately before ruin and deficit at rain are developed.
出处
《桂林工学院学报》
北大核心
2007年第2期285-289,共5页
Journal of Guilin University of Technology
基金
国家自然科学基金资助项目(10661006)
广西自然科学基金资助项目(0447096)
关键词
双二项风险模型
破产概率
破产前盈余分布
破产赤字分布
联合分布
double binomial distribution of deficit at ruin
risk model
ruin probability
distribution of the surplus immediately before ruin
joint distribution
