带有相依利率和保费的离散时间模型的破产问题
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引用本文:包振华,魏龙飞.带有相依利率和保费的离散时间模型的破产问题[J].经济数学,2016,(4):38-43
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作者单位
包振华,魏龙飞 (辽宁师范大学 数学学院辽宁 大连116029) 
中文摘要:考虑一类具有相依结构的离散时间风险过程,其中利率和保费收入过程为两个不同的自回归移动平均模型.利用更新递归方法,得到了破产前盈余与破产后赤字的联合分布和破产持续时间分布的递归计算公式.
中文关键词:自回归移动平均模型  破产前盈余  破产后赤字  破产持续时间
 
Ruin Problems in a Discrete Time Risk Model with Dependent Interest Rates and Premiums
Abstract:We consider a discrete time risk model with dependent structures, in which two different autoregressive moving average models for interest rates and premiums are assumed. By using renewal recursive technique, the recursive formula for the joint distribution of the surplus before ruin and the deficit after ruin, together with the distribution of the duration of ruin are obtained.
keywords:autoregressive moving average model  surplus before ruin  deficit after ruin  the duration of ruin
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