摘要
研究了利率具有二阶自回归相依结构的风险模型,通过递推关系,得到了破产前盈余分布和首达某一水平x的时间分布的积分方程.
The risk model is studied that the interest rate is dependent upon the second autoregressive structure. By recurslve relations, the integrate equatidns are derived of the surplus distribution before bankruptcy and the time X distribution that reaches a given level for the flint time.
出处
《四川文理学院学报》
2010年第2期23-25,共3页
Sichuan University of Arts and Science Journal
基金
四川文理学院院级科研项目(2008A01Z)
关键词
二阶自回归相依模型
破产前盈余分布
递推公式
Order 2 autoregressive model
surplus distribution before bankruptcy
recursive formula
