摘要
在利率具有一阶自回归相依结构,同时考虑到保费、理赔支付时间的离散时间风险模型下,得到了在停时T,初始准备金为u时,保险公司破产前最大盈余分布函数满足的积分方程以及盈余首次低于某一个预警水平x的时间分布的递推公式和破产时间分布的递推公式.
A discrete time risk model under interest rates with autoregressive structure of order one is discussed in this paper.By using the renewal recurrence technique,the integral equation of the distribution of maximum surplus before bankruptcy and the recursive expressions of the time distribution of surplus at the first time below a given level x are obtained.Based on this,a recursive formula of time distribution of ruin is also deduced in this paper.
出处
《曲靖师范学院学报》
2006年第6期42-44,共3页
Journal of Qujing Normal University
关键词
离散时间风险模型
一阶自回归
利率
破产前最大盈余的分布
递推公式
the discrete time risk model
autoregressive structure of order one
rates of interest
the distribution of maximum surplus before bankruptcy
recursive formula
