| 常利率下Cox风险过程的罚金折现期望函数 |
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| 引用本文： | 聂高琴,刘次华,徐立霞.常利率下Cox风险过程的罚金折现期望函数[J].应用数学,2005,18(4):567-572. |
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| 作者姓名： | 聂高琴 刘次华 徐立霞 |
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| 作者单位： | 华中科技大学数学系,湖北,武汉,430074 |
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| 基金项目： | Foundation item： Supported by the National Natural Science Foundation o{ China （70271069） |
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| 摘 要： | 本文考虑了常利率环境下Cox风险模型的罚金折现期望值，利用后向差分法，得到了条件期望值与平稳情形时的期望值分别所满足的积分方程．并且，给出了一个强度过程为二状态马尔可夫过程及索赔服从指数分布的例子．
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| 关 键 词： | 罚金折现期望函数 Cox过程 利率 积分过程 |
| 文章编号： | 1001-9847(2005)04-0567-06 |
| 收稿时间： | 2004-09-28 |
| 修稿时间： | 2004年9月28日 |
The Expected Discounted Penalty Function of Cox Risk Process with a Constant Interest Rate |
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| NIE Gao-qin,LIU Ci-hua,XU Li-xia.The Expected Discounted Penalty Function of Cox Risk Process with a Constant Interest Rate[J].Mathematica Applicata,2005,18(4):567-572. |
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| Authors: | NIE Gao-qin LIU Ci-hua XU Li-xia |
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| Institution: | Dept. of Math. , Huazhong University of Science and Technology ,Wuhan 430074, China |
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| Abstract: | In this paper, we consider the expected value of a discounted penalty function at ruin in the Cox risk model under interest force. Using backward differential argument, we derive the integral equations satisfied by the conditional expected value and the expected value which is in the stationary case respectively. Also, an example where the intensity process is a two-state Markov process and the claims are exponentially distributed is given. |
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| Keywords: | Expected discounted penalty function Cox process Interest rate Integral equation |
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