一类离散时间风险模型的几个结果

Some Results about a Discrete Time Risk Model

在考虑利率且保费收入为随机变量的离散时间模型下 ,得到了在停时T ,保险公司在初始准备金为u时的生存概率 ,破产后赤字分布 ,有限时间内的破产概率以及盈余首次低于某一个水平x的时间分布的递推公式 。

In this paper, we discuss the discrete time insurance risk model with interest and premium income which is considered to be random variable. we conclude insurance company’s survival probability, the distribution of the deficit after ruin, ruin probability within limited time and recursive formula of time distribution of surplus at the first time below a given level x . Based on this we deduce a recursive formula of time distribution of ruin.