古典风险模型的一个极值联合分布  

A joint distribution of extreme values for classical risk model

作　　者：吴海燕[1] 

机构地区：[1]安徽师范大学数学与计算机科学学院,安徽芜湖241000

出　　处：《重庆工商大学学报（自然科学版）》2010年第1期27-29,共3页Journal of Chongqing Technology and Business University:Natural Science Edition

摘　　要：主要讨论了古典风险模型余额首次返回零点前及最后一次返回零点前两种时期内的极小值和极大值的联合分布,并运用模型的强马氏性及平稳性解决了问题.In this paper, we mainly discuss the joint distribution of the infimun profits and deficit before it returns to zero for the first time and the supreme profits and deficit until it returns to zero ultimately. The explicit expressions for this joint distributions are obtained mainly by using the strong Markov and stationary properties of the surplus process.

关 键 词：古典风险模型 破产时刻 强马尔可夫性 

分 类 号：O211[理学—概率论与数理统计]