带常利率的扰动复合泊松风险模型（英文）  

The Perturbed Compound Poisson Risk Model with Constant Interest

作　　者：张媛媛[1] 王文胜[2] 

机构地区：[1]江苏理工学院商学院,常州213001 [2]杭州师范大学数学系,杭州310018

出　　处：《应用概率统计》2015年第4期375-383,共9页Chinese Journal of Applied Probability and Statistics

基　　金：supported by the Social Science Foundation of Jiangsu University of Technology(KYY14523);the Natural Science Foundation of Zhejiang Province(LY14A010025)

摘　　要：本文考虑带常利率的扰动复合泊松风险模型,得到了Gerber-Shiu折现罚金函数所满足的积分-微分方程,并且得到了最终破产概率的精确渐进表达式.This study has considered the compound Poisson risk model perturbed by diffusion with con- stant interest and obtained an integral-differential equation for the Gerber-Shiu discounted penalty function. Asymptotic expression for the ultimate ruin probability also derived across the study.

关 键 词：常利率 复合泊松模型 GERBER-SHIU函数 破产概率 

分 类 号：O211.4[理学—概率论与数理统计]