摘要
在理赔量具有一阶自回归的情形下,讨论修正的经典的离散时间风险模型。利用递推形式和数学归纳法得出了破产前盈余的分布,破产前最大盈余的分布,以及破产前盈余、破产后赤字、破产前最大盈余的联合分布的递推式。
The modified classical discrete time insurance risk model with AR(1) claim sizes was discussed. Using recursive method and mathematical induction, recursive expressions about the distribution of surplus before ruin and maximum surplus before ruin, as well as the recursive expressions of the joint distribution of surplus before ruin, deficit after ruin, and the maximum surplus before ruin were derived.
出处
《上海第二工业大学学报》
2014年第1期61-66,共6页
Journal of Shanghai Polytechnic University
关键词
离散时间风险模型
一阶自回归
破产前盈余
破产前最大盈余
破产后赤字
分布
discrete time insurance risk model
AR(1)
surplus before ruin
maximum surplus before ruin
deficit after ruin
distribution