The Discrete Time Insurance Risk Model under Interest Rates with Autoregressive Structure of Order 2

摘要：

This paper discusses the discrete time insurance risk model under the assumption that the rate of interest is dependent upon the second autoregressive structure. The recursive expressions of the joint distribution of the surplus immediately before ruin and the deficit at ruin, the time that the surplus process reaches a given level x for the first time are obtained; further the integral equation for the joint distribution is also obtained.

关键词： the discrete time insurance risk model autoregressive structure interest force the surplus immediately before ruin the deficit at ruin

作者: HAO Huibing LI Chunping

作者单位: Department of Mathematics, Xiaogan University, Xiaogan, Hubei, P.R.China, 432100

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 194-198

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）