常利率下带干扰的Cox模型的破产概率  

THE RUIN PROBABILITY FOR COX MODEL DISTURBED BY DIFFUSION UNDER THE CONSTANT INTEREST RATE

作　　者：熊双平[1] 

机构地区：[1]上海师范大学数理信息学院,上海201418

出　　处：《经济数学》2006年第3期247-251,共5页Journal of Quantitative Economics

摘　　要：讨论了常利率下带干扰的Cox模型的破产概率,分别得到了条件破产概率和最终破产概率所满足的微积分方程.In this paper,we investigate the probability of ruin in the COX Model With disturbed by diffusion Under a Constant Interest Rate. Integral equations are obtained that the probability of ruin satisfy.

关 键 词：破产概率 微积分方程 利率 COX模型 

分 类 号：O211.6[理学—概率论与数理统计]