摘要
本文研究了一类Cox风险过程破产时、破产瞬间前的余额、破产时的赤字这三个重要精算量的联合分布,并给出了一些密度测度的分布.
In this paper we study a kind of Cox risk process taking both risk and portfolio fluctuations into account. We obtain expressions for the joint distribution generated by the three actuarial diagnostics： the time of ruin, the surplus immediately before ruin and the deficit at ruin. Finally we investigate the so-called intensity measure of Cox process related to the model.
出处
《应用概率统计》
CSCD
北大核心
2010年第6期597-604,共8页
Chinese Journal of Applied Probability and Statistics
基金
supported by the Fundamental Research Funds for the Central Universities (NKZXB10052)
