摘要
本文探讨了具有两步保费率的扰动风险模型,对其破产前首次通过某一给定水平的时间的拉普拉斯变换进行了研究,由强马氏性和位移算子得出了破产前最大盈余、破产前瞬时盈余及破产赤字的联合分布.
In this paper, we consider a perturbed risk model with a two-step premium rate and investigate the Laplace transform of the first passage time across a given level before ruin. By using the strong Markov property and shift operator, we obtain the joint distribution of the maximal surplus before ruin, the surplus immediately before ruin and the defieiL at ruin, associated with the ruin time.
出处
《工程数学学报》
CSCD
北大核心
2013年第2期278-282,共5页
Chinese Journal of Engineering Mathematics
基金
The National Natural Science Foundation of China(11201356)
the Key Laboratory of Systems Science in Metallurgical Process Foundation Office of Hubei Province(C201008)
