一类Cox风险过程中的三联分布(英文)  

On the Joint Distribution for a Kind of Cox Risk Process

作　　者：宋敏[1] 吴荣[2] 王过京[3] 

机构地区：[1]南开大学经济学院金融学系,天津300071 [2]南开大学数学科学学院,天津300071 [3]苏州大学数学系,苏州215006

出　　处：《应用概率统计》2010年第6期597-604,共8页Chinese Journal of Applied Probability and Statistics

基　　金：supported by the Fundamental Research Funds for the Central Universities (NKZXB10052)

摘　　要：本文研究了一类Cox风险过程破产时、破产瞬间前的余额、破产时的赤字这三个重要精算量的联合分布,并给出了一些密度测度的分布.In this paper we study a kind of Cox risk process taking both risk and portfolio fluctuations into account. We obtain expressions for the joint distribution generated by the three actuarial diagnostics： the time of ruin, the surplus immediately before ruin and the deficit at ruin. Finally we investigate the so-called intensity measure of Cox process related to the model.

关 键 词：Cox风险过程 破产时 破产瞬间前的余额 赤字 

分 类 号：O211.6[理学—概率论与数理统计]