随机利率及保费的离散风险模型中的破产问题  

RUIN PROBLEM FOR TWO DISCRETE TIME INSURANCE MODEL

作　　者：翁小勇[1] 杨娟[1] 

机构地区：[1]遵义师范学院数学系,贵州遵义563002

出　　处：《数学杂志》2009年第3期335-338,共4页Journal of Mathematics

摘　　要：本文研究了利率、保费均为随机变量的两个离散风险模型.利用递推的方法,得到了有限时间内的破产概率和最终破产概率所满足的积分方程,以及盈余首次穿过给定水平时刻的分布的递推公式,从而可以对保险公司各个破产指标得出数值结论.In this paper, we discuss two discrete time risk model with the interest rate and the insurance premium are stochastic variable. We derive the integral equation of the ruin probability in finite time and the ultimate ruin probably and the distribution of the surplus for the first time through an assign level of the moment by the use of recursive method, thus we may draw the value conclusions of ruin indicators to the insurance company.

关 键 词：离散风险模型 破产概率 随机利率 盈余 破产时赤字 

分 类 号：O211.9[理学—概率论与数理统计]