有限时间破产概率的递归公式

A Recursive Formula for Finite Time Ruin Probabilities

对于一个行情易起波动的公司,它的信用质量如何,建立了一个新的风险模型.并且推导出了关于有限时间破产概率和破产时间分布的递归方程.对于毕竟破产概率,结合维他里型积分方程系统,得到了破产的严重性以及破产前和后的剩余额的联合分布.

This paper builds a new risk model for a firm which is sensitive to its credit quality.Recursive equations for finite time ruin probability and distribution of ruin time are derived.Coupled Volterra type integral equation systems for ultimate ruin probability,severity of ruin and joint distribution of surplus before and after ruin are also obtained.