一类Cox风险模型下的罚金函数(英文)  

On the Discounted Penalty Function in a Cox Risk Model

作　　者：王春伟[1] 高兴平 

机构地区：[1]曲阜师范大学数学科学学院,山东省曲阜市273165 [2]杭州市景成实验学校,浙江省杭州市310000

出　　处：《曲阜师范大学学报（自然科学版）》2009年第2期31-35,共5页Journal of Qufu Normal University(Natural Science)

基　　金：Supported by the National Natural Science Foundation of China(10471076)

摘　　要：考虑了索赔来到的时间间隔和索赔量受外部环境干扰的Cox风险模型.通过求拉氏变换的方法分析了折扣罚金函数,并求出了零初始金时罚金函数的具体表示.The authors consider a Cox risk model in which the claim inter-arrivals and claim sizes are influenced by an external Markovian environment process. Based on the analysis of the discounted penalty function of the risk model by means of Laplace transforms, the explicit expressions when the initial capital is zero are obtained.

关 键 词：破产时刻 破产时赤字 破产前盈余 COX风险模型 

分 类 号：O211.67[理学—概率论与数理统计]