[1]魏广华,高启兵,刘国祥.常利力下双复合Poisson风险过程的生存概率[J].南京师大学报(自然科学版),2013,36(02):27-30.
　Wei Guanghua,Gao Qibing,Liu Guoxiang.Survival Probability in the Double Compound Poisson Risk Process Under Constant Interest Force[J].Journal of Nanjing Normal University(Natural Science Edition),2013,36(02):27-30.
点击复制

常利力下双复合Poisson风险过程的生存概率()
分享到：

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

卷:
第36卷
期数:
2013年02期
页码:
27-30
栏目:
数学
出版日期:
2013-06-30

文章信息/Info

Title:
Survival Probability in the Double Compound Poisson Risk Process Under Constant Interest Force
文章编号:
1001-4616(2013)02-0027-04
作者:
魏广华1; 高启兵2; 3; 刘国祥2
1.金陵科技学院基础部,江苏 南京 211169
2.南京师范大学数学科学学院,江苏 南京 210023
3.东南大学数学系,江苏 南京 210096
Author(s):
Wei Guanghua1; Gao Qibing2; 3; Liu Guoxiang2
1.Department of Basic Courses,Jinling Institute of Technology,Nanjing 211169,China
2.School of Mathematical Sciences,Nanjing Normal University,Nanjing 210023,China
3.Department of Mathematics,Southeast University,Nanjing 210096,China
关键词:
双复合泊松风险模型; 跳扩散过程; 生存概率; 积分微分方程
Keywords:
double compound Poisson risk process; jump-diffusion; survival probability; integro-differential equation
分类号:
O211.9
文献标志码:
A
摘要:
本文考虑了常利力下双复合Poisson风险过程,分别获得了生存概率和有限时间内生存概率的积分微分方程.当保费和索赔都服从指数分布时,得到了生存概率的微分方程.
Abstract:
In this paper,we consider the double compound Poisson risk process under constant interest force.For infinite time and finite time survival probabilities,we obtain the respective integro-differential equation.When the premiums and claims are exponentially distributed,some differential equations are derived for infinite time survival probability.

参考文献/References:

[1] Asmussen S.Ruin Probabilities[M].Singapore:World Scientific,2000.
[2]Cai J,Dickson D C M.On the expected discounted penalty function at ruin of a surplus process with interest[J].Insurance:Mathematics and Economics,2002,30(3):389-404.
[3]Palsen J,Gjessing H K.Ruin theory with stochastic economic environment[J].Advances in Applied Probability,1997,29(4):965-985.
[4]Cai J,Yang H L.Ruin in the perturbed compound poisson risk process under interest force[J].Advances in Applied Probability,2005,37(3):819-835.
[5]Sundt B,Teugels J L.Ruin estimates under interest force[J].Insurance:Mathematics and Economics,1995,16(1):7-22.
[6]方世祖,罗建华.双复合Poisson风险模型[J].纯粹数学与应用数学,2006,22(2):271-278.
[7]Paul E,Claudia K,Thomas M.Modelling Extremal Events for Insurance and Finance[M].New York:Springer-Verlag,1997.
[8]魏广华,高启兵.常利力下双复合泊松风险模型破产概率的上界[J].南京师大学报:自然科学版,2009,32(1):30-34.
[9]魏广华,高启兵,王晓谦.常利力下带干扰的双复合Poisson风险过程的生存概率[J].应用概率统计,2012,28(1):31-42.

相似文献/References:

[1]魏广华,高启兵.常利力下双复合泊松风险模型破产概率的上界[J].南京师大学报(自然科学版),2009,32(01):30.
　Wei Guanghua,Gao Qibing.Upper Bounds for Ruin Probability in the Double Compound Poisson Risk Model Under Constant Interest Force[J].Journal of Nanjing Normal University(Natural Science Edition),2009,32(02):30.
[2]刘睿辰,刘国祥,叶 伟.一类跳扩散过程下期权定价公式的参数估计[J].南京师大学报(自然科学版),2014,37(03):36.
　Liu Ruichen,Liu Guoxiang,Ye Wei.Parameter Estimation of the Option Pricing Formula ona Class of Jump-Diffusion Model[J].Journal of Nanjing Normal University(Natural Science Edition),2014,37(02):36.

备注/Memo

备注/Memo:
收稿日期:2012-10-05.
基金项目:国家自然科学基金(11271193、11201199、10671032、10871001)、江苏高校自然科学研究项目(11KJB110005)、东南大学博士后基金(1107010100).
通讯联系人:魏广华,讲师,研究方向:风险理论.E-mail:wgh@jit.edu.cn
更新日期/Last Update: 2013-06-30