The Gerber-Shiu discounted penalty function for the credit risk model with dependent rates of interest

摘要：

In this paper, we consider the credit risk model with dependent rates of interest. The rates of interest In,n=1,2,... are assumed to have an autoregressive structure, we obtained the integral equations for the penalty function by using the analysis methods in probability. Furthermore, the finite time ruin probability, the joint distribution of surplus immediately before ruin and the deficit at ruin are also obtained.

关键词： Credit rating Penalty function Rate of interest Risk theory

作者: Dan Peng Zaiming Liu

作者单位: School of Mathematics, Hunan University of Science and Technology, Xiangtan 411201 China School of Mathematics, Central South University, Changsha,410075 China

会议类型: 国际会议

会议名称: The 1st International Conference on Sustainable Construction & Risk Management(首届可持续建设与风险管理国际会议)

会议地点: 重庆

会议语种:英文

页码: 534-538

在线出版日期: 2010-06-12（万方平台首次上网日期，不代表论文的发表时间）