PDMP方法求解两类风险模型期望折扣罚函数  

Solving Expected Discounted Penalty Function of Two Risk Models Using PDMA Approach

作　　者：张毅[1] 樊岩[1] 

机构地区：[1]天津工业大学理学院,天津300160

出　　处：《天津城市建设学院学报》2008年第2期149-151,共3页Journal of Tianjin Institute of Urban Construction

基　　金：天津工业大学高等教育教学改革研究项目(029701)

摘　　要：主要针对两类不同的连续时间风险模型(经典风险模型和带常利率因子的风险模型),利用积分型泛函满足的(脉冲)积分微分方程结果,具体推导出它们的期望折扣罚函数满足的方程.The expected discounted penalty functions of two continuous-time risk model （the classical risk model and the risk model with constant interest rate） were studied. Equation of the expected discounted penalty function for each model were derived by applying the results of the （impulse） integral-differential equation of integral functional to the assumed model.

关 键 词：积分型泛函 (脉冲)积分微分方程 期望折扣罚函数 

分 类 号：O211.6[理学—概率论与数理统计]