具有相依理赔量的离散时间风险模型的破产问题
发布时间：2019-08-06 09:14
【摘要】：本文研究了理赔量具有一阶自回归结构以及在此条件下引入折现率和双险种两种广义离散时间金融风险模型的破产问题.利用数学递推的方法,获得了破产持续时间分布和盈余首次穿过给定水平x的时刻分布所满足的积分方程,并给出当理赔量服从指数分布时相关破产分布的数值分析结果,推广了经典离散时间金融风险模型的结构和破产问题.
[Abstract]:In this paper, we study the ruin problem of claims with first-order autoregression structure and the introduction of two generalized discrete-time financial risk models, discount rate and double insurance, under these conditions. By using the method of mathematical recurrence, the integral equations satisfied by the time distribution of ruin duration distribution and surplus passing through a given level x for the first time are obtained, and the numerical analysis results of the relevant ruin distribution when the claim obeys the exponential distribution are given, which generalizes the structure of the classical discrete time financial risk model and the ruin problem.
【作者单位】： 合肥工业大学管理学院;合肥工业大学数学学院;
【基金】：中央高校基本科研业务费专项基金资助(JZ2016HGTB0724) 合肥工业大学研究生教学改革研究重点项目基金资助(YJG2015Z01)
【分类号】：F224;F840
，
本文编号：2523464
[Abstract]:In this paper, we study the ruin problem of claims with first-order autoregression structure and the introduction of two generalized discrete-time financial risk models, discount rate and double insurance, under these conditions. By using the method of mathematical recurrence, the integral equations satisfied by the time distribution of ruin duration distribution and surplus passing through a given level x for the first time are obtained, and the numerical analysis results of the relevant ruin distribution when the claim obeys the exponential distribution are given, which generalizes the structure of the classical discrete time financial risk model and the ruin problem.
【作者单位】： 合肥工业大学管理学院;合肥工业大学数学学院;
【基金】：中央高校基本科研业务费专项基金资助(JZ2016HGTB0724) 合肥工业大学研究生教学改革研究重点项目基金资助(YJG2015Z01)
【分类号】：F224;F840
，
本文编号：2523464
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