發(fā)布時間：2019-08-06 09:14

【摘要】：本文研究了理賠量具有一階自回歸結(jié)構(gòu)以及在此條件下引入折現(xiàn)率和雙險種兩種廣義離散時間金融風(fēng)險模型的破產(chǎn)問題.利用數(shù)學(xué)遞推的方法,獲得了破產(chǎn)持續(xù)時間分布和盈余首次穿過給定水平x的時刻分布所滿足的積分方程,并給出當(dāng)理賠量服從指數(shù)分布時相關(guān)破產(chǎn)分布的數(shù)值分析結(jié)果,推廣了經(jīng)典離散時間金融風(fēng)險模型的結(jié)構(gòu)和破產(chǎn)問題.
[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.
【作者單位】： 合肥工業(yè)大學(xué)管理學(xué)院;合肥工業(yè)大學(xué)數(shù)學(xué)學(xué)院;
【基金】：中央高校基本科研業(yè)務(wù)費專項基金資助(JZ2016HGTB0724) 合肥工業(yè)大學(xué)研究生教學(xué)改革研究重點項目基金資助(YJG2015Z01)
【分類號】：F224;F840
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本文編號：2523464