摘要
本文对经典风险模型考虑有投资收益的情况.其投资收益率用泊松过程加布朗运动来描述.得到了罚金折现期望函数满足的方程.并对某些特殊情况给出了进一步的讨论.
In this papper, we consider the classical risk model with stochastic retum on investment in which the return on investment generating process is a compound Poisson process plus a Brownian motion with positive drift, we obtain an equation for the expectation of discounted penalty function. Further, we discuss the special case.
出处
《经济数学》
2007年第3期234-238,共5页
Journal of Quantitative Economics
基金
国家自然科学基金项目(10371133)
中南在研究生学位论文创新项目
关键词
投资收益
随机利率
布朗运动
罚金折现函数
积分-微分方程
Return on investments, stochastic rates of interest, Brownian motion, discounted penalty function, integro-differential equation
