Fully Discrete Multi-type Risk Model

Posted on:2005-06-24

Degree:Master

Type:Thesis

Country:China

Candidate:L Xu

Full Text:PDF

GTID:2120360122986886

Subject:Applied Mathematics

Abstract/Summary:

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In this papcr,wc discussed the fully discrete multi-type risk model and several random variables relate to the time of ruin .The recursive formulas and explicit expressions of ruin probability and the distribution law of the surplus immediately before ruin were obtained.By "Martingale Approach" ,wc get an upper bound of ruin probability.

Keywords/Search Tags:

multi-type risk model, ruin probability, recursive formula, explicit expression, Martingale Approach, compoun bionomial distribution

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