随机利率作用下的经典风险模型的破产概率  

Some distributions for classical risk process under the effect of the Stochastic Interest Rate

作　　者：唐胜达[1] 曹梅英[1] 王伟[1] 

机构地区：[1]中南大学数学学院,长沙410075

出　　处：《数学理论与应用》2006年第2期18-20,共3页Mathematical Theory and Applications

摘　　要：本文讨论了在随机利率作用下经典风险模型的破产问题,给出了导致公司破产的索赔额的L ap lace变换所满足的微分方程,给出了破产概率二次连续可微性的条件,得到了导致公司破产的所满足的积分微分方程;破产时刻公司赤字的L ap lace变换所满足的积分-微分方程.作为特例,本文给出了当索赔为指数分布地导致破产索赔额的L ap lace变换和破产时刻赤字的L ap lace变换的微分方程.assume that a compound poisson surplus process is invested in a stochastic interest process, we drive integrazl equations for the Laplace transform of the amount of claim causing ruin. we give some conditions under which it is twice differentiable. We also obtain the integro-differential equations satisfied by the Laplace transform of the amount of claim causing ruin and that of the surplus before the time of ruin. Some applications are given when the distribution of claim is exponential.

关 键 词：破产理论 随机利率 积分方程 可微性 积分—微分方程 

分 类 号：F224[经济管理—国民经济]