华东师范大学学报(自然科学版) ›› 2005, Vol. 2005 ›› Issue (1): 46-52.

• 数学 统计学 • 上一篇    下一篇

带息力的更新风险模型下的破产概率的计算

林庆敏1,2， 汪荣明1   

  1. 1.;华东师范大学 统计系，上海 200062; 2.中国平安人寿保险股份有限公司，上海 200040
  • 收稿日期:2003-04-07 修回日期:2003-06-17 出版日期:2005-03-25 发布日期:2005-03-25
  • 通讯作者: 林庆敏

Calculation of Ruin Probabilities under a Renewal Risk vskip1mmcenterlinebflarge Model with Interest Force(Chinese)

LIN Qing-min1,2， WANG Rong-ming1   

  1. 1. Department of Statistics, East China Normal University, Shanghai 200062, Chinapar ;2.China PinAn Life Insurance Company Ltd., Shanghai 200040
  • Received:2003-04-07 Revised:2003-06-17 Online:2005-03-25 Published:2005-03-25
  • Contact: LIN Qing-min

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.

关键词: 利息力, 更新风险模型, 破产前瞬间盈余, 破产时赤字, 利息力, 更新风险模型, 破产前瞬间盈余, 破产时赤字

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.

Key words: renewal risk model, surplus immediately before ruin, deficit at ruin, interest force, renewal risk model, surplus immediately before ruin, deficit at ruin

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