一类马尔可夫风险模型罚金函数的期望(英文)  

Expected value of a penalty function for a markovian risk model

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200234

出　　处：《上海师范大学学报（自然科学版）》2007年第1期12-16,共5页Journal of Shanghai Normal University(Natural Sciences)

基　　金：Shanghai Normal Unversity(SQ200401).

摘　　要：研究了一类马尔可夫风险模型的罚金函数,得到了罚金函数的期望所满足的积分方程,并由所得到的积分方程推出了破产概率所满足的积分方程及破产赤字的分布函数、破产赤字与破产前瞬时盈余的联合分布函数所满足的积分方程．In this paper, we mainly discuss the ＂penalty function＂ of the risk processes of a Markovian risk model. Using the Integro - differential equation we established, we get the Integro - differential equation for the ruin probability, the distribution of the deficit at ruin, and the joint cumulative distribution of the deficit at ruin and the surplus before ruin respectively.

关 键 词：积分方程 风险过程 罚金函数 破产赤字 破产前瞬时盈余 

分 类 号：O211.6[理学—概率论与数理统计]