摘要
本文研究完全离散风险模型下的罚金折现期望.我们首先得到Φ(u,w)的瑕疵离散更新方程,利用控制收敛定理得出Φ(0,w)的显式解;然后通过对w的讨论,分别推出f(0;x),g(0;y)与ψ(0)的显式解。
In this paper we study the expected discounted penalty in the compound binomial model. At first, we obtain the defective discrete renewal equation of expected discounted penalty. The exact solution ofФ(0, ω) is obtained by applying dominated convergence theorem. The exact solution of ∫(0;x),/g(0;ω) andФ(0) are obtained respectively by discussing ω.
出处
《经济数学》
2005年第4期344-350,共7页
Journal of Quantitative Economics
基金
国家自然科学基金资助项目(No.10471076)
山东省自然科学基金资助项目(No.Y2004A06)
关键词
离散模型
罚金折现期望
调节系数
鞅
离散更新方程
Diseredte model, expected discounted penalty, adjustment coefficient, martingale, discrete renewal equation.