摘要
考虑了带借贷利率及干扰的双复合Poisson-Geometric风险过程,借助全期望公式、微分和伊藤积分等知识,并综合引起破产的原因得到无限时破产概率积分微分方程和有限时破产概率的积分偏微分方程.
In this paper,we consider a risk model which is a perturbed double compound Poisson-Geometric process with debit interest.We obtain the Integro-differential equation for infinite time ruin probability and then derive the integral partial differential equation for finite time ruin probability by total expectation formula,differential calculus,Ito formula and other knowledge and the causes of ruin.
作者
王月明
魏广华
郭楠
高艳艳
WANG Yue-ming;WEI Guang-hua;GUO Nan;GAO Yan-yan(Department of Mathematics and Physics,Nanjing Institute of Technology,Nanjing 211167,China;School of Science,Jinling Institute of Technology,Nanjing 211169,China)
出处
《西南大学学报（自然科学版）》
CAS
CSCD
北大核心
2019年第11期54-63,共10页
Journal of Southwest University(Natural Science Edition)
基金
国家自然科学基金项目(61374080,11271193)
江苏高校自然科学研究项目(11KJB110005)
