摘要
本文考虑了常利率环境下Cox风险模型的罚金折现期望值,利用后向差分法,得到了条件期望值与平稳情形时的期望值分别所满足的积分方程.并且,给出了一个强度过程为二状态马尔可夫过程及索赔服从指数分布的例子.
In this paper, we consider the expected value of a discounted penalty function at ruin in the Cox risk model under interest force. Using backward differential argument, we derive the integral equations satisfied by the conditional expected value and the expected value which is in the stationary case respectively. Also, an example where the intensity process is a two-state Markov process and the claims are exponentially distributed is given.
出处
《应用数学》
CSCD
北大核心
2005年第4期567-572,共6页
Mathematica Applicata
基金
Supported by the National Natural Science Foundation of China (70271069)
关键词
罚金折现期望函数
COX过程
利率
积分过程
Expected discounted penalty function
Cox process
Interest rate
Integral equation
