کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1153826 958355 2007 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Ruin problems in risk models with dependent rates of interest
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Ruin problems in risk models with dependent rates of interest
چکیده انگلیسی
In this paper, we consider ruin problems in two generalized risk models. The effects of timing of payments and interest on the ruin problems in the models are studied. The rates of interest {In,n=1,2,⋯} are assumed to have an autoregressive structure. We obtain the recursive formulas of penalty functions which give a unified treatment to ruin quantities including the distribution of surplus immediately before ruin and the deficit at ruin, etc. Furthermore, we consider the probability properties of the duration of ruin, which are used to describe the severity of ruin.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 77, Issue 8, 15 April 2007, Pages 761-768
نویسندگان
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