随机利率驱动的离散风险模型下首次负盈余的持续时间的分布
수궤리솔구동적리산풍험모형하수차부영여적지속시간적분포
On the Distribution of Duration of First Negative Surplus for a Discrete Time Risk Model with Random Interest Rate
  • 万方数据
    东北数学（英文版） 동북수학（영문판）
    NORTHEASTERN MATHEMATICAL JOURNAL
    2006年 3期 299-305 ,共7页

    汪荣明%吴贤毅

    왕영명%오현의



    discrete time risk model%random interest rate%annuity-due risk model%duration of negative surplus


    In this paper, we examine further annuity-due risk model presented by Cai (Probability in the Engineering and Informational Sciences, 16(2002), 309-324). We consider the computation for the distribution of duration of first negative surplus and the algorithm is shown for calculating probability that ruin occurs and the duration of first negative surplus takes any nonnegative integers values. Numerical illustration for the main result is given.
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