Bankruptcy Of Credit Risk Models

The classical and extensive risk models offer us mathematical modelsfor dealing with insurance company's problems. Considering therelationship between the ruin probability and credit risk, also the fund'stime value included, the author discusses the finite discrete time insurancerisk model with credit risk under the interest force.In chapter 2, the author introduces the finite discrete time insurancerisk model with credit risk and some correlated results.In chapter 3, the author discusses the credit risk model under theconstant interest force. By using the recursive method, finite time ruinprobability and distribution of ruin time are obtained. Moreover, By theanalysis of ruin probability, the recursive formula for the distributions ofthe surplus before and at ruin, together with the joint distribution ofsurpluses are also derived.In chapter 4, When the interest force is independent identicallydistributed, the author discusses the discrete time insurance risk modelwith credit risk under the interest force, the recursive formula for thefinite time ruin probability, the distribution of ruin time, the distributionsof the surplus before and at ruin, together with the joint distribution ofsurpluses are also derived.In chapter 5, the author discusses the discrete time credit risk modelwith dependent rates. The recursive formula for the finite time ruin probability, the distribution of rain time, the distributions of the surplusbefore and at ruin, together with the joint distribution of surpluses arealso derived.In chapter 6, the author analyzes all the results and proposes theeffective conclusions.