离散时间比例再保险模型的破产概率

Ruin Pobability for A Discrete Time Reinsurance Model

研究具有相依结构的离散时间比例再保险模型的破产概率.在模型中假设随机利率和索赔间隔时间是相依的.利用更新递归技巧,首先得到了破产概率满足的递归方程.然后,根据该递归方程得到了破产概率的上下界估计.

This paper studied the ruin probability of discrete time proportional reinsurance model with dependent struc- ture. Assuming that the stochastic interest rate depends upon the inter-arrival time, the recursive equations for ruin probabili- ties were derived by using the recursive renewal techniques. Then, the upper and lower bounds were obtained in terms of the recursive equation.