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| 摘要: |
| 更新方程是得到破产概率的核心等式，通常是对盈余过程和破产概率的数学解析而得到。考虑经典风险和常利率风险两种模型，给出更新方程的新的推导方法：破产前瞬时盈余瑕疵密度正则化后即为破产概率；当索赔为指数分布时，研究了破产赤字和破产前瞬时盈余瑕疵密度正则化后的独立性。 |
| 关键词: 更新方程 正则化 破产概率 |
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| New Derivation Method for Renewal Equation of Ruin Probability |
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HAN Lei
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| Abstract: |
| Renewal equation is core formula to derive ruin probability usually from mathematical analysis of surplus process and ruin probability.By considering two models such as calssic risk model and usual interest rate risk model,this paper gives new deriving method of renewal equation,proposes that ruin probability is defect density of immediate surplus before ruin after regularization and studies the independence of defenct density of ruin deficit and immediate surplus before ruin after regularization. |
| Key words: renewal equation regularizaton ruin probability |
