随机利率风险模型中的破产问题  

Ruin problem in risk model with random rates of interest

作　　者：朱春华[1] 

机构地区：[1]安徽大学数学与计算科学学院,安徽合肥230039

出　　处：《安徽大学学报（自然科学版）》2005年第4期5-8,共4页Journal of Anhui University(Natural Science Edition)

基　　金：国家自然科学基金资助项目(10271001);安徽大学人才队伍建设基金资助项目(05)

摘　　要：考虑带保费和理赔的支付时间及利率因素的两个离散时间保险风险模型中的破产问题.对其中一个模型,文献中仅在利率{In,n=1,2,…}是定值时,即n≥1,In=r,r是常值情形下,考虑破产前赢余分布和破产持续时间的概率性质两个破产严重性的破产问题.本文考虑了利率{In,n=1,2,…}是独立同分布的随机变量时的两个离散时间保险风险模型,获得了破产前赢余分布和破产持续时间概率的递推公式.In this paper,we study ruin problems in two generalized risk models,which consider the effects of timing of payments and interest on the ruin problems.For one of above two model,Sun studied the distribution of surplus immediately before ruin and the probability properties of the duration of ruin only when the rates of interest ｛I_n,n=1,2,…｝ are assumed to be constants,that is,I_n=r for n≥1, where r is constant.In this article,when the rates of interest ｛I_n,n=1,2,…｝ are assumed to be i.i.d. variables,we obtain the recursive formulas of the distribution of the surplus before ruin and the probability properties of the duration of ruin in two risk models.

关 键 词：随机利率 破产前赢余分布 破产持续时间 

分 类 号：O211.5[理学—概率论与数理统计]