摘要
考虑常利率下的贷款复合泊松模型,讨论了在绝对破产情况下的总的负持续时间,利用马氏性推导并解出总的负持续时间的拉普拉斯变换.
The compound Poisson risk model with debit interest is considered,and the total duration of negative surplus when absolute ruin occurs is discussed.By the strong Markov property of the model,the Laplace-Stieltjes transform of the total duration of negative surplus is obtained.
出处
《天津师范大学学报（自然科学版）》
CAS
北大核心
2011年第1期21-24,28,共5页
Journal of Tianjin Normal University：Natural Science Edition
基金
Financial support from National Basic Research Program of China(973Program,2007CB814905)
the National Natural Science Foundation of China(10871102)
the Natural Science Foundation of Tianjin(08JCYBJC02200)
关键词
古典风险模型
绝对破产
负持续
借款利息
classical risk model
absolute ruin
duration of negative surplus
debit interest
