一类离散时间风险模型的广义期望贴现惩罚函数  

On the generalized expected discounted penalty function for a class of discrete time risk model

作　　者：刘芳[1] 刘叶[1] 

机构地区：[1]辽宁师范大学数学学院,辽宁大连116029

出　　处：《高师理科学刊》2015年第6期7-11,共5页Journal of Science of Teachers＇College and University

摘　　要：研究一类具有随机保费收入的离散时间更新风险过程,并且假设无风险利率是一个齐次不可约的马尔可夫链.通过讨论Lundberg基本方程的根,得到了广义期望贴现惩罚函数的解析表达,给出了一些相关破产量的分析表达式.Investigated a class of discrete time renewal risk process with random premium income, in which the risk-free interest rate was assumed to be a homogeneous irreducible Markov chain. By discussing the root of the Lundberg＇s fundamental equation, obtained an explicit expression for the generalized expected discounted penalty function, gave the analytical expressions for some relative ruin quantities.

关 键 词：广义期望贴现惩罚函数 概率母函数 Lundberg基本方程 

分 类 号：F224.7[经济管理—国民经济]