| 具有随机投资收益率的破产概率 |
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| 引用本文： | 王汉兴,万爱华.具有随机投资收益率的破产概率[J].上海大学学报(英文版),2006,10(3):211-214. |
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| 作者姓名： | 王汉兴 万爱华 |
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| 作者单位： | Department of Mathematics College of Sciences，Shanghai University，Shanghai 200444 P.R. China，Shanghai Lixin University of Commerce Shanghai 200235 P.R.China，Department of Mathematics，College of Sciences，Shanghai University，Shanghai 200444 P.R.China |
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| 基金项目： | Project supported by National Natural Science Foundation ofChina (Grant Nos .10471088 ,60572126) |
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| 摘 要： | 1 Introduction We will extend the classical ruin model withthe twomain components of premium income and clai mpayment1 ,2].The third component reflects the randomrates of interest to the free reserve such as a currencydevaluation or credit event3].Inthelatter case we as-sume that the free reservexis invested in bonds withcredit risk . Upon a credit event the value of the freereserve drops according to the recovery ratezfromxtozx. Then the free reserve is reinvested in bondswith si milar ris…
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| 关 键 词： | 破产理论 信用风险 货币风险 偏离论证 随机利率 破产概率 |
| 文章编号： | 1007-6417（2006）03-0211-04 |
| 收稿时间： | 2004-05-19 |
| 修稿时间： | 2004-10-21 |
Ruin probabilities with random rates of interest |
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| Han-xing Wang,Ai-hua Wan.Ruin probabilities with random rates of interest[J].Journal of Shanghai University(English Edition),2006,10(3):211-214. |
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| Authors: | Han-xing Wang Ai-hua Wan |
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| Abstract: | A model was proposed for addressing investment risk of the free reserve in the form of credit or currency risk. This risk was expressed by a constant amount K (e.g., securitization) upon an interest-increasing event and a random variable Z representing the recovery rate of a bond or a devaluation factor. The model equation is an integro-differential equation with deviating arguments. The analytical solutions were obtained for the probability of survival as Z is a discrete random variable and as Z is a continuous random variable respectively. |
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| Keywords: | ruin theory credit risk currency risk deviating arguments random rates of interest |
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