摘要
讨论了利率具有二阶自回归结构的复合二项保险风险模型,利用递推算法,得到了破产前最大盈余的分布,破产时赤字的分布及破产前一时刻盈余的分布的递推公式及其它们所满足的积分微分方程。
This paper discusses ruin problems in the compound binomial insurance risk model under the assumption that the rate of interest is dependent upon the second autoregressive structure.The recursive expressions of the distribution of the deficit at ruin and the distribution of the surplus immediately before ruin and the distribution of maximum before the ruin and the integral equations for the distributions are obtained.
出处
《孝感学院学报》
2010年第3期37-41,共5页
JOURNAL OF XIAOGAN UNIVERSITY
基金
湖北省教育厅科研项目(B20082601)
关键词
复合二项风险模型
二阶自回归
利率
破产前最大盈余的分布
破产时赤字的分布
破产前一时刻盈余的分布
the compound binomial insurance risk model
autoregressive structure
interest force
the distribution of maximum before the ruin
the distribution of the deficit at ruin
the distribution of the surplus immediately before ruin
