关于常利率风险模型在破产前后余额的分布(英文)  

On the Distributions of the Surplus of the Constant Interest Force Risk Model Prior to and at Ruin

作　　者：张春生[1] 吴荣[1] 

机构地区：[1]南开大学数学系,天津300071

出　　处：《应用概率统计》2001年第4期410-416,共7页Chinese Journal of Applied Probability and Statistics

基　　金：Supported by NNSF (grant No. 16971047) and DES in China.

摘　　要：本文对常利率风险模型运用拉普拉斯变换给出了破产前后余额通过破产概率函数表示的有限公式，　以及破产概率的分析表达式，另外对于破产前后余额分布的密度与破产前余额密度之间关系简要说明．In this paper, applying Laplace transform we give the formulae of the distributions of the surplus of constant interest force risk model prior to and at ruin, which are expressed by some ruin probability, and an analytical expression for ruin probability. We also briefly consider the joint density of the surplus prior to and at ruin.

关 键 词：常利率 拉普拉斯-斯蒂杰斯变换 破产概率 密度 破产前余额 风险模型 

分 类 号：F840[经济管理—保险] O211.67[理学—概率论与数理统计]