随机利率及保费的离散风险模型中的破产问题

RUIN PROBLEM FOR TWO DISCRETE TIME INSURANCE MODEL

本文研究了利率、保费均为随机变量的两个离散风险模型.利用递推的方法,得到了有限时间内的破产概率和最终破产概率所满足的积分方程,以及盈余首次穿过给定水平时刻的分布的递推公式,从而可以对保险公司各个破产指标得出数值结论.

In this paper, we discuss two discrete time risk model with the interest rate and the insurance premium are stochastic variable. We derive the integral equation of the ruin probability in finite time and the ultimate ruin probably and the distribution of the surplus for the first time through an assign level of the moment by the use of recursive method, thus we may draw the value conclusions of ruin indicators to the insurance company.