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

• 论文 • 上一篇    下一篇

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. 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 Dong1,*(),Hongshuai Dai2   

  1. 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:

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