有随机投资回报的随机保费模型的渐近破产概率(英文)  

ASYMPTOTIC RUIN PROBABILITIES FOR RISK MODEL WITH RANDOM PREMIUM AND STOCHASTIC RETURN ON INVESTMENT

作　　者：徐林[1] 汪荣明[2] 

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241003 [2]华东师范大学金融与统计学院,上海200241

出　　处：《数学杂志》2010年第3期439-448,共10页Journal of Mathematics

基　　金：Supported by NNSFC(10671072);the Doctoral Program Foundation of the Ministry of Education of China(20060269016);the National Basic Research Program of China(973 Program) (2007CB814904);the NSF of Anhui Educational Bureau(KJ2008B243)

摘　　要：本文研究了随机投资回报环境下扰动的随机保费模型的破产问题.利用鞅方法和随机分析的理论讨论了盈余过程的一些基本性质,得到了一个可以用来求解破产时刻的Laplace变换的积分微分方程,结果推广了已有的随机投资回报风险模型的结论.In this article,the perturbed classical risk model allows for extra stochastic premium income and stochastic return on investment are studied.By applying martingale method and theory related to stochastic analysis,some properties of risk model are presented and an integro-differential equation for solving the Laplace transform of the ruin time is established.The results of this article generalize some results on the risk model without stochastic premium income.

关 键 词：鞅方法 破产概率 积分微分方程 随机微分方程 

分 类 号：O211.6[理学—概率论与数理统计]