摘要
当风险模型为带有随机干扰的经典风险过程时 ,破产时罚金折现期望函数Φ(u ,w)及其分解表达式Φd(u)和Φs(u ,w)的积分表达被得到 ,并且它们的二次连续可微性也得到证明 .所有这些都为GerberandLandry (1998)和TsaiandWillmot (2 0 0 2 )中结论的前提假定提供了可靠的保证 ,同时 ,关于破产时赤字的分布及破产概率的一些结果也被得到 .
The classical risk process perturbed by diffusion is considered. The integral expressions of the expected discounted penalty function at ruin Φ(u,w) and its decomposed formulas Φ d(u) and Φ s(u,w) are obtained, and their twice-continuous differentiability are proved. By the way, some results about the distribution of the deficit at ruin and the probability of ruin are derived.
出处
《山东大学学报(理学版)》
CAS
CSCD
北大核心
2004年第6期58-62,66,共6页
Journal of Shandong University(Natural Science)
基金
国家自然科学基金资助项目(10471076)
教育部人文社科基金资助项目(02JA790057)
教育部科技重点资助项目(104053)
山东省社科规划研究资助项目(04BJJ31)
关键词
二次连续可微性
破产时罚金折现期望
破产时赤字
破产概率
twice-continuous differentiability
the expected discounted penalty function at ruin
the deficit at ruin
the probability of ruin