常利力下带干扰的双复合Poisson风险过程的生存概率  

The Survival Probability for the Perturbed Double Compound Poisson Risk Process under Constant Interest Force

作　　者：魏广华[1] 高启兵[2,3] 王晓谦[2] 

机构地区：[1]金陵科技学院基础部,南京210001 [2]南京师范大学数学与计算机科学学院,南京210097 [3]东南大学数学系,南京210097

出　　处：《应用概率统计》2012年第1期31-42,共12页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金(10671032;10871001;60873176);江苏省自然科学基金(BK2008006);东南大学博士后基金(1107010100);金科院教改项目(2010JCXM-02-8)资助

摘　　要：本文考虑了常利力下带干扰的双复合Poisson风险过程,借助微分和伊藤公式,分别获得了无限时和有限时生存概率的积分微分方程.当保费服从指数分布时,得到了无限时生存概率的微分方程.In this paper, we consider the perturbed double compound Poisson risk process under constant interest force. Exponential type upper bounds are obtained for the ultimate ruin probability of this risk model by the way of martingale. For infinite time and finite time survival probabilities, we obtain the respective integro-differential equations. When the premiums are exponentially distributed, some differential equations are derived for infinite time survival probability.

关 键 词：双复合泊松风险模型 布朗运动 跳跃扩散过程 生存概率 积分微分方程 

分 类 号：O211.9[理学—概率论与数理统计]