利率影响下信用风险的破产概率  

Ruin Probability with Credit Risk Under the Effect of Interest Rate

作　　者：涂钰青[1] 刘深泉[1] 

机构地区：[1]华南理工大学数学科学学院,广东广州510640

出　　处：《华南理工大学学报（自然科学版）》2004年第11期81-85,共5页Journal of South China University of Technology(Natural Science Edition)

基　　金：国家自然科学基金资助项目 (1990 2 0 0 5 )

摘　　要：为了研究信用风险下保险公司的生存几率和规避公司破产 ,采用常数利率离散时间下信用风险的破产模型 ,提出公司破产发生的条件和常利率离散时间下信用风险的生存概率 ,并利用该模型推导出公司的破产概率和破产时刻分布 .通过对破产概率的分析 ,得出破产前瞬间的余额分布和破产时的余额分布 ,以及破产前、破产时瞬间余额的联合分布的递推公式 .In order to investigate the survival probability of insurance companies with credit risk and avoid their going bankrupt, a ruin model with credit risk in finite discrete time under a constant interest rate was introduced and the ruin condition was given, as well as the survival probability with credit risk in finite discrete time under a constant interest rate. By using this model, the ruin probability and the distribution of the ruin time were derived. By the analysis of ruin probability, the recursive formulae for the distributions of the surpluses before and at the instant of ruin, together with the joint distribution of the two surpluses were finally obtained.

关 键 词：破产 信用风险 马尔可夫链 常利率 转移概率 

分 类 号：O211.62[理学—概率论与数理统计]