带干扰古典风险模型的极值联合分布  

JOINT DISTRIBUTIONS OF EXTREME VALUES FOR CLASSICAL RISK MODEL PERTURBED BY DIFFUSION

作　　者：毕秀春 王新华[2] 李荣[2] 

机构地区：[1]曲阜师范大学数学科学学院,曲阜市273165 [2]聊城大学数学与计算机科学学院,山东省聊城市252059

出　　处：《曲阜师范大学学报（自然科学版）》2004年第2期19-23,共5页Journal of Qufu Normal University(Natural Science)

基　　金：国家自然科学基金资助项目(19801020)

摘　　要：讨论了带干扰的古典风险模型,给出了从负余额首次返回零点前及最后一次返回零点前两种时期内余额极大值和极小值的联合分布.主要运用模型的强马氏性及平稳性来解决问题.The classical risk model that is perturbed by diffusion is discussed. It gives the joint distribution of the supreme profits and deficit before it leaves zero for the first time,and the joint distribution of the supreme profits and deficit until it leaves zero ultimitely. The explicit expressions for these two joint distributions are obtained mainly by using the strong Markov and stationary properties of the surplus process.

关 键 词：风险过程 强马尔可夫性 破产时间 联合分布 末离时 POISSON过程 干扰古典风险模型 

分 类 号：O211.62[理学—概率论与数理统计]