数学物理学报 ›› 2010, Vol. 30 ›› Issue (3): 818-827.

• 论文 • 上一篇    下一篇

带干扰古典风险模型的一些分布

何敬民1, 吴荣2   

  1. 1. 天津理工大学理学院 天津 300384|2. 南开大学数学科学学院 天津 300071
  • 收稿日期:2008-05-17 修回日期:2009-07-20 出版日期:2010-05-25 发布日期:2010-05-25
  • 基金资助:

    国家自然科学基金(10926161,  10901086, 10871102)、国家重点基础研究发展计划(973计划)(2007CB814905)和国家博士点基金资助

Some Distributions for the Classical |Risk Process Perturbed by Brownian Motion

 HE Jing-Min1, WU Rong2   

  1. 1. College of Science, Tianjin University of Technology, Tianjin 300384;2. School of Mathematical Sciences, Nankai University, Tianjin 300071
  • Received:2008-05-17 Revised:2009-07-20 Online:2010-05-25 Published:2010-05-25

摘要:

该文主要讨论带干扰古典风险模型的破产瞬间余额和破产赤字的边际及联合分布. 借助于修正阶梯高度的结果,得到了它们的表达式.当索赔服从指数分布时, 给出它们的精确表达.

关键词: 破产概率, 破产瞬间余额, 破产赤字, 修正阶梯高度

Abstract:

In this paper, we consider the classical risk process perturbed by Brownian motion. Using the results of the modified ladder heights of this process, we obtain the marginal and joint distributions of the surplus prior to ruin and the deficit at ruin. The explicit solutions for them are derived when the claims are exponentially distributed.

Key words: Ultimate ruin probability, Surplus prior to ruin, Deficit at ruin,  , Modified ladder heights

中图分类号: 

  • 91B30