Calculation of Ruin Probabilities under a Renewal Risk vskip1mmcenterlinebflarge Model with Interest Force(Chinese)
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摘要: 除破产概率外,刻画保险公司的破产风险还可以利用破产前瞬间盈余的分布和破产时赤字的分布. 通过对引入息力的风险模型的研究,得到了描述破产前瞬间盈余和破产时的赤字的分布的递推算法,在此基础上还给出了两者满足的积分方程.Abstract: Apart from ruin probability, the distribution of surplus immediately before ruin and that of deficit at ruin can also be used to characterize the risk of ruin in a insurance company. In this paper, these distributions are studied with a renewal risk model under interest force; the recursive algorithms and integral euations for the distributions are obtained.
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