混合观测体系下谱负Lévy过程的Parisian破产问题

数学物理学报 ›› 2021, Vol. 41 ›› Issue (2): 548-561.

混合观测体系下谱负Lévy过程的Parisian破产问题

杨晓凤¹,董华^1,*(),戴洪帅²

¹ 曲阜师范大学统计学院山东曲阜 273165
² 山东财经大学统计学院济南 250014

收稿日期:2020-05-05 出版日期:2021-04-26 发布日期:2021-04-29
通讯作者: 董华 E-mail:sddh1978@126.com
基金资助:
国家自然科学基金(11701319);山东省自然科学基金(ZR2019MA035);山东省自然科学基金(ZR2020MA035)

Parisian Ruin for Spectrally Negative Lévy Processes Under a Hybrid Observation Scheme

Xiaofeng Yang¹,Hua Dong^1,*(),Hongshuai Dai²

¹ School of Statistics, Qufu Normal University, Shandong Qufu 273165
² School of Statistics, Shandong University of Finance and Economics, Jinan 250014

Received:2020-05-05 Online:2021-04-26 Published:2021-04-29
Contact: Hua Dong E-mail:sddh1978@126.com
Supported by:
the NSFC(11701319);the NSF of Shandong Province(ZR2019MA035);the NSF of Shandong Province(ZR2020MA035)

摘要/Abstract

摘要：

该文主要讨论了混合观测体系（hybrid observation scheme）下的谱负Lévy过程的Parisian破产问题.该文通过拉普拉斯变换法和测度变换法给出了破产时间和赤字的联合拉普拉斯变换.

关键词: 谱负Lévy过程, 混合观测体系, Parisian破产, 拉普拉斯变换, 波动等式

Abstract:

In this paper, we consider Parisian ruin problem based on a hybrid observation scheme for a spectrally negative Lévy process. We obtain the joint Laplace transform of the time to ruin and the deficit at ruin time by using the method of Laplace transform and the change of measure technique.

Key words: Lévy risk process, Hybrid observation scheme, Parisian ruin, Laplace transform, Fluctuation identities

中图分类号:

O211.6

杨晓凤,董华,戴洪帅. 混合观测体系下谱负Lévy过程的Parisian破产问题[J]. 数学物理学报, 2021, 41(2): 548-561.

Xiaofeng Yang,Hua Dong,Hongshuai Dai. Parisian Ruin for Spectrally Negative Lévy Processes Under a Hybrid Observation Scheme[J]. Acta mathematica scientia,Series A, 2021, 41(2): 548-561.

图/表 1

参考文献 25

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