折现率离散时间风险模型下最大赤字问题
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引用本文:古再丽努尔·阿布都卡地尔1,吴黎军2.折现率离散时间风险模型下最大赤字问题[J].经济数学,2014,(3):23-25
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古再丽努尔·阿布都卡地尔1,吴黎军2 (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) 
中文摘要: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.
中文关键词:折现率  离散时间风险模型  破产概率  破产赤字
 
Largest Deficit Problems for the Discrete Time Risk Model with Discount Rate
Abstract: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 immediately 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.
keywords:discounted rate  discrete time risk model  ruin probability  distribution of the deficit after ruin
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