THE RISK MODEL OF THE EXPECTED DISCOUNTED PENALTY FUNCTION WITH CONSTANT INTEREST FORCE  

作　　者：刘莉 茆诗松 

机构地区：[1]School of Mathematics and Statistics Wuhan University,Wuhan 430072,China School of Mathematics and Computer Science,Hubei University,Wuhan 430062,China [2]Department of Statistics East China Normal University,Shanghai 200062,China

出　　处：《Acta Mathematica Scientia》2006年第3期509-518,共10页数学物理学报（B辑英文版）

摘　　要：In this article, the expected discounted penalty function Фδ,α （u） with constant interest δ and ＂discounted factor＂ exp（-αTδ） is considered. As a result, the integral equation of Фδ,α （u） is derived and an exact solution for Фδ,α （0） is found. The relation between the joint density of the surplus immediately prior to ruin, and the deficit at ruin and the density of the surplus immediately prior to ruin is then obtained based on analytical methods.In this article, the expected discounted penalty function Фδ,α （u） with constant interest δ and ＂discounted factor＂ exp（-αTδ） is considered. As a result, the integral equation of Фδ,α （u） is derived and an exact solution for Фδ,α （0） is found. The relation between the joint density of the surplus immediately prior to ruin, and the deficit at ruin and the density of the surplus immediately prior to ruin is then obtained based on analytical methods.

关 键 词：RUIN penalty function integral equation surplus prior to ruin deficit at ruin 

分 类 号：O211.67[理学—概率论与数理统计]