折现率离散时间风险模型下最大赤字问题  

Largest Deficit Problems for the Discrete Time Risk Model with Discount Rate

作　　者：古再丽努尔.阿布都卡地尔 吴黎军[2] 

机构地区：[1]新疆农业大学数理学院,新疆乌鲁木齐830052 [2]新疆大学数学与系统科学学院,新疆乌鲁木齐830046

出　　处：《经济数学》2014年第3期23-25,共3页Journal of Quantitative Economics

基　　金：国家自然基金资助项目(11361058)

摘　　要：在引入折现率的条件下研究离散时间风险模型,运用递推方法和全概率公式,得到了破产前盈余,破产后赤字以及它们的联合分布所满足的微分积分方程,作为推论得到了破产概率所满足的微积分方程并得出结论.We considered a discrete time risk model with discount rate.By using the recursive method and probability formulas we obtained,recursion formulas for distribution of the surplus just before ruin,the distribution of the surplus imme-diately after ruin,the joint distribution of the surplus immediately before and after ruin.Moreover,as a corollary,the integral equations for the ruin probability were also derived.

关 键 词：折现率 离散时间风险模型 破产概率 破产赤字 

分 类 号：F222.3[经济管理—国民经济] O211[理学—概率论与数理统计]