马氏环境下双Cox风险模型的研究  

The Research about the Double Cox Risk Model in a Markovian Environment

作　　者：张立飞[1] 王勇[1] 

机构地区：[1]哈尔滨工业大学数学系,黑龙江哈尔滨150001

出　　处：《哈尔滨理工大学学报》2009年第2期30-33,共4页Journal of Harbin University of Science and Technology

基　　金：国家自然科学基金(10771044);黑龙江省自然科学基金(200605)

摘　　要：研究了马氏环境下双Cox风险模型的折现罚金函数,利用后向差分法得到了折现罚金函数所满足的积分方程,进而得到了破产概率、破产前瞬时盈余、破产时赤字的各阶矩所满足的积分方程.In this paper, we research the expected discounted penalty function with double Cox risk model in a Markovian environment. By a backward differential argument, the integral equation satisfied by the expected discounted penalty function is driven. Then we get the equations satisfied by ruin probability, the moments of the surplus immediately prior to ruin and deficit at ruin.

关 键 词：马尔可夫链 COX风险模型 折现罚金函数 破产概率 破产前瞬时盈余 破产赤字 

分 类 号：O211.9[理学—概率论与数理统计]