理赔量具有一阶自回归结构的离散时间风险模型的破产问题

Ruin Problems for the Discrete Time Insurance Risk Model with AR(1) Claim Sizes

在理赔量具有一阶自回归的情形下,讨论修正的经典的离散时间风险模型。利用递推形式和数学归纳法得出了破产前盈余的分布,破产前最大盈余的分布,以及破产前盈余、破产后赤字、破产前最大盈余的联合分布的递推式。

The modified classical discrete time insurance risk model with AR（1） claim sizes was discussed. Using recursive method and mathematical induction, recursive expressions about the distribution of surplus before ruin and maximum surplus before ruin, as well as the recursive expressions of the joint distribution of surplus before ruin, deficit after ruin, and the maximum surplus before ruin were derived.