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常利率下带干扰的Cox模型的破产概率 被引量:2

THE RUIN PROBABILITY FOR COX MODEL DISTURBED BY DIFFUSION UNDER THE CONSTANT INTEREST RATE
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摘要 讨论了常利率下带干扰的Cox模型的破产概率,分别得到了条件破产概率和最终破产概率所满足的微积分方程. In this paper,we investigate the probability of ruin in the COX Model With disturbed by diffusion Under a Constant Interest Rate. Integral equations are obtained that the probability of ruin satisfy.
作者 熊双平
出处 《经济数学》 2006年第3期247-251,共5页 Journal of Quantitative Economics
关键词 破产概率 微积分方程 利率 COX模型 Ruin probability ,integral equation ,Cox model ,interest rate
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