投资回报具有随机变量的风险模型  

Stochastic return on investment with random variable of risk models

作　　者：杨善兵[1] 朱亚萍[1] 房厚庆[2] 

机构地区：[1]盐城工学院基础部,江苏盐城224003 [2]江苏大学理学院,江苏镇江212013

出　　处：《安徽大学学报（自然科学版）》2007年第3期5-8,共4页Journal of Anhui University(Natural Science Edition)

基　　金：国家自然科学基金资助项目(10271090)

摘　　要：推广了投资回报是带正漂移布朗运动的复合泊松风险模型,讨论了投资回报具有随机变量的复合泊松风险模型,得到期望惩罚函数的积分方程.作为期望惩罚函数的应用,还得到了破产概率、破产时的拉普拉斯变换、破产时的赤字、导致破产的索赔等精算量的分布函数.We generalize the compound Poisson risk models with a stochastic return on investments which is an Brown with a positive drift, and discuss the compound Poisson risk models with a stochastic return on investments which is assumed to he a Brownian motion with random variable. We derive （expected discounted） penalty function associated with the time of ruin of integral equation, as applying penalty function also derive the distribution function of the ruin probability, the Laplace transform of the time of ruin, the deficit at ruin and the amount of claim causing ruin.

关 键 词：复合泊松风险模型 破产概率 随机投资回报 积分方程 期望惩罚函数 

分 类 号：O212[理学—概率论与数理统计]