摘要
本文研究了一类带随机利率的离散时间比例再保险模型.运用递推方法,得到了破产前盈余、破产后赤字的分布以及它们的联合分布所满足的微分积分方程,作为推论得到了破产概率所满足的积分方程,推广了无再保险情形的结果.
In this paper, we study a discrete time risk model with random interest rate and proportional reinsurance, using the method of recursive, the integro-differential equations for the distribution of surplus just before ruin, the distribution of surplus immediately after ruin, the joint distribution of the surplus immediately before and after ruin are obtained. As a corollary, the integral equations for the ruin probability are derived, which extend the results with no reinsurance.
出处
《数学杂志》
CSCD
北大核心
2012年第1期181-185,共5页
Journal of Mathematics
基金
冶金工业过程系统科学湖北省重点实验室(武汉科技大学)开放基金资助项目(C201006)
湖北省教育厅资助项目(B20091107)
关键词
离散时间风险模型
随机利率
比例再保险
破产函数
Discrete-time risk model
random interest rate
proportional reinsurance
ruin function
