摘要
本文研究带扰动和附索赔的风险模型.利用鞅方法,得到了破产概率的指数上界及精确表达式,推广了不带扰动的风险模型相应的结论.
In this paper, we discuss a delayed-claims risk model perturbed by diffusion. We give both the exponential upper bound and explicit expression for the ultimate ruin probability by martingale approach. The results obtained generalize the corresponding ones for the delayed daims risk model without diffusion.
出处
《数学杂志》
CSCD
北大核心
2007年第4期451-454,共4页
Journal of Mathematics
基金
国家教育部基金资助项目(NCET-04-0667)
关键词
鞅
扰动
调节系数
破产时
破产概率
martingale
perturbed
ruin time
adjustment coefficient
ruin probability
