一类具有相依结构的离散时间风险模型的赤字分布

The Deficit at Ruin in a Class of Discrete Time Risk Model with Dependent Structure

研究一类具有相依结构的离散时间风险模型的破产赤字问题.其中,保费和利率过程假设为两个不同的自回归移动平均模型.利用更新递归技巧,首先得到了该模型下破产赤字分布的递推公式.然后,根据该递推公式得到了赤字分布的上下界估计.

This paper investigates deficit problems for a class of discrete time risk model with dependent structure.Two autoregressive moving average models are introduced to model the premiums and rates of interest.By using renewal recursive technique,we first get the recursive formulas for the distribution of the deficit at ruin.Then the upper and lower bounds for the distribution of the deficit at ruin are derived by applying the above recursive formulas.