带有确定投资回报的经典风险过程下的破产时罚金折现期望  

The expected discounted penalty function at ruin during the classical risk process with deterministic return on investment

作　　者：赵霞[1] 

机构地区：[1]山东经济学院概率统计与保险精算研究所

出　　处：《山东大学学报（理学版）》2006年第5期63-67,共5页Journal of Shandong University(Natural Science)

基　　金：国家自然科学基金资助项目(10471076);教育部科技重点项目(104053);山东省自然科学基金资助项目(Y2004A05);山东省教育厅科技计划项目资助(J05P51)

摘　　要：考虑带有确定投资回报的经典风险过程下,得到了破产时罚金折现期望的积分表达、连续可微性及其所满足的积分方程和积分微分方程,并且给出了关于积分方程的解的一些讨论.The classical risk process with deterministic return on investment is considered . The Feller expression of the expected discounted penalty function at ruin is obtained, and its continuous differentiability is proved. Furthermore, the integral equation and integro-differential equation satisfied by the expected discounted penalty function at ruin are derived. Finally, some discussions about the solutions of integral equation are given.

关 键 词：风险过程 积分微分方程 连续可微性 

分 类 号：O211[理学—概率论与数理统计] F840[理学—数学]