常微分方程求解破产概率

Ordinary differential equation for solving ruin probability problem

根据常系数齐次线性微分方程的解法以及破产概率的定义,在此基础上给出复合泊松过程中个别理赔额C服从参数为α的指数分布的终极破产概率的计算实例,以及复合泊松过程中个别理赔额C服从参数为a(最小值)、b(最大值)的均匀分布的终极破产概率的计算实例。

Based on the constant coefficient homogeneous linear differential equation and the definition of ruin probability, we give the calculation example of the ultimate ruin probability in which the individual claim amount C obeys the exponential distribution with the parameter ~ in the Poisson process. Also the example C obeying uniform distribution with the parameters are a（minimum） and b （maximum） is proposed.