摘要
为了更真实地反映市场随机变化趋势,将经典的扩散模型推广到跳跃-扩散模型.用布朗运动和复合泊松过程共同驱动保险公司的盈余过程,并考虑盈余过程的系数受马尔可夫链干扰的情况.采用鞅方法和微积分方法研究保险公司的破产概率,得到破产概率所满足的偏微分方程.
In order to reflect the stochastic variation trend of the market,the classical diffusion model is extended to the jump-diffusion model.The earnings process of insurance company is driven by the Brownian motion and the compound Poisson process,and considered that earnings process coefficient impacted by Markov chain.Using the martingale methods and stochastic calculus techniques,the ruin probability for insurance company is studied.At last,the partial differential equation which satisfied by the ruin probability is obtained.
出处
《纺织高校基础科学学报》
CAS
2016年第2期171-177,共7页
Basic Sciences Journal of Textile Universities
基金
陕西省教育厅科研计划资助项目(2013JK0594)
关键词
盈余过程
复合泊松过程
马尔科夫链
随机微分方程
破产概率
earnings process
compound Poisson process
Markov chain
stochastic differential equation
ruin probability
