带随机利率的离散时间风险模型的破产概率

Ruin Probability of a Discrete Time Risk Model under Stochastic Rates of Interest

考虑带随机利率的离散时间风险模型的破产概率.所考虑的模型又称为期初应付年金风险模型.在该模型下,当索赔分布分别属于D∩L族、广义正则变化重尾分布族和正则变化重尾分布族时,得到了破产概率的渐近表达式.

The ruin probability of a discrete time risk model under stochastic interest rate was considered in this paper. The risk model is also called the annuity-due risk model. When the common distribution of claim sizes belongs to the class D∩L,ERVand R,respectively,an asymptotic formula for the ultimate ruin probability is derived.