绝对破产下的总负持续时间(英文)  

Total duration of negative surplus under absolute ruin

作　　者：孙国红[1] 裴新年[2] 李慧[3] 张丽维[3] 

机构地区：[1]天津农学院基础科学系,天津300384 [2]中共天津市委党校基础课教研部,天津300191 [3]南开大学数学科学学院,天津300071

出　　处：《天津师范大学学报（自然科学版）》2011年第1期21-24,28,共5页Journal of Tianjin Normal University：Natural Science Edition

基　　金：Financial support from National Basic Research Program of China(973Program,2007CB814905);the National Natural Science Foundation of China(10871102);the Natural Science Foundation of Tianjin(08JCYBJC02200)

摘　　要：考虑常利率下的贷款复合泊松模型,讨论了在绝对破产情况下的总的负持续时间,利用马氏性推导并解出总的负持续时间的拉普拉斯变换.The compound Poisson risk model with debit interest is considered,and the total duration of negative surplus when absolute ruin occurs is discussed.By the strong Markov property of the model,the Laplace-Stieltjes transform of the total duration of negative surplus is obtained.

关 键 词：古典风险模型 绝对破产 负持续 借款利息 

分 类 号：O174.5[理学—数学] O211.6[理学—基础数学]