经济数学2016，Vol.33Issue(4)：38-43,6.
带有相依利率和保费的离散时间模型的破产问题∗
Ruin Problems in a Discrete Time Risk Model with Dependent Interest Rates and Premiums
摘要
Abstract
Abstract We consider a discrete time risk model with dependent structures,in which two different autoregressive mov-ing average models for interest rates and premiums are assumed.By using renewal recursive technique,the recursive formula for the joint distribution of the surplus before ruin and the deficit after ruin,together with the distribution of the duration of ru-in are obtained.关键词
自回归移动平均模型/破产前盈余/破产后赤字/破产持续时间Key words
autoregressive moving average model/surplus before ruin/deficit after ruin/the duration of ruin分类
数理科学引用本文复制引用
包振华,魏龙飞..带有相依利率和保费的离散时间模型的破产问题∗[J].经济数学,2016,33(4):38-43,6.基金项目
教育部人文社会科学研究青年基金(15YJC910001) （15YJC910001）
辽宁省高等学校优秀人才支持计划(LR2014031) （LR2014031）
