Lévy风险模型的研究

Study on Lévy Risk Models

首先讨论了一般Lévy风险模型,得到了其折扣期望所满足的积分—微分方程;然后在Lévy风险过程有混合指数负跳的情况下,得到了一些特殊折扣期望的具体表达式.

In this paper, the general Lévy risk models are discussed and the integro-differential equation satisfied by its expected discounted penalty function is derived. The evident results of some expected discounted penalty functions are obtained when the Lévy risk preocesses have mixed-exponential negative jumps.