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With The Bankruptcy Of The Interest Rate Risk Model

Posted on:2005-03-01Degree:MasterType:Thesis
Country:ChinaCandidate:M Z Q SiFull Text:PDF
GTID:2206360122996491Subject:Probability theory and mathematical statistics
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The paper solves mainly the problem in ruin circle . No straight road but circular road leads to development . An insurance serves as a typical example of practising its risk . So it is not an exception, in practice the rules of the market don't let a insurance do circularly the same thing , but in theory it can do .I deal with specifically the degree of surplus and ruin - the distribution of the supremum surplus before ruin and the supremum deficit. In a world, an insurance can see the light about its capital, it will think hard before ruin in order not to indulge in. And it uses its capital well so that it can get it maxmium interest.I obtain the distribution of the time in the red which describe the severity of ruin, the time in the green which describe the good of surplus, ruin circle and the joint distribution of the supremum surplus before ruin and supremum deficit .So I can make a drawing of ruin circle of the insurance. However, a policy-holder can decide whether he buys after he knows the ruin circle.The paper firstly I discussed ruin circle problems in the completely discrete time insurance risk model with constant interest rate. The recursive expressions of the distribution of the ruin circle are obtained. Secondly the renewal risk model with constant iterest force is discussed. The surplus U (Tk) at claim occurrence times Tk is a MarKov chain with transition probability Q(x, B). The series expansions of ruin circle probability are obtained .There are many differences between the completely discrete time insurance risk model with constant interest rate and the renewal risk model with constant interest force . For one thing, the former has not instant time but the latter has. For another thing , in the times ruin circle, the former has u≥0, howerer the latter has u=0. Finally, when they have the time in the red which describe the severity of ruin , the former has n>0 and the latter has n≥0.It is by logic that we prove, but by intuition that we discover. Soafterweproved the discovery, we can work out decisive means.
Keywords/Search Tags:complercly discrete time insurnce risk model, the renewal risk model, surplus, deficit, ruin circle.
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