索赔次数为复合Poisson-Geometric过程的常利率风险模型的罚金函数  

ON THE PENALTY FUNCION OF THE COMPOUND POISSON-GEOMETRIC PROCESS RISK MODEL WITH A 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》2008年第2期136-142,共7页Journal of Quantitative Economics

摘　　要：讨论了常利率下索赔次数为复合Poisson-Geometric过程的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,初始盈余为0时,得到了罚金函数的期望及破产概率的精确解.In this paper, we consider the ＂penalty function＂of the Risk Model With Compound Poisson-Geometric Process Under a Constant Interest Rate. Integral equations are obtained that the expected＂penalty function＇of this risk processes satisfy. Using the Integro-diffential equation we established, we get the Integro-differential equation satisfied by the ruin probability. While the exact solution is given when the initial surplus is zero.

关 键 词：破产概率 罚金函数 积分方程 利率 复合POISSON-GEOMETRIC过程 

分 类 号：O211.6[理学—概率论与数理统计]