2009•Journal of Natural Science of Heilongjiang UniversityRequires access
Ruin problems with credit risk model under the constant interest force
Zaiming Liu
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Abstract
The credit risk model under the constant interest force is discussed.By using the analysis method in probability,the integral equations for ruin probability in finite time and distribution of ruin time are obtained.Furthermore,by the analysis of ruin probability,the recurrent integral equations of distribution of immediately surplus before ruin and the distribution of balance at ruin can be derived.These results extend that obtained by Yang Hailiang.