| 索赔次数为复合Poisson-Geometric过程的常利率风险模型的罚金函数 |
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| 引用本文： | 熊双平.索赔次数为复合Poisson-Geometric过程的常利率风险模型的罚金函数[J].经济数学,2008,25(2). |
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| 作者姓名： | 熊双平 |
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| 作者单位： | 上海师范大学数理信息学院,上海,201418 |
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| 摘 要： | 讨论了常利率下索赔次数为复合Poisson-Geometric过程的风险模型的罚金函数,得到了罚金函数的期望所满足的积分方程,并由所得到的积分方程推出了破产概率所满足的积分方程,初始盈余为0时,得到了罚金函数的期望及破产概率的精确解.
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| 关 键 词： | 破产概率 罚金函数 积分方程 利率 复合Poisson-Geometric过程 |
ON THE PENALTY FUNCION OF THE COMPOUND POISSON-GEOMETRIC PROCESS RISK MODEL WITH A CONSTANT INTEREST RATE |
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| Xiong Shuangping.ON THE PENALTY FUNCION OF THE COMPOUND POISSON-GEOMETRIC PROCESS RISK MODEL WITH A CONSTANT INTEREST RATE[J].Mathematics in Economics,2008,25(2). |
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| Authors: | Xiong Shuangping |
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| Institution: | Xiong Shuangping (mathematics , science college,Shanghai normal university,201418) |
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| Abstract: | In this paper,we consider the penalty functionof the Risk Model With Compound Poisson-Geometric Process Under a Constant Interest Rate.Integral equations are obtained that the expectedpenalty functionof this risk processes satisfy.Using the Integro-diffential equation we established,we get the Integro-differential equation satisfied by the ruin probability.While the exact solution is given when the initial surplus is zero. |
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| Keywords: | Ruin probability penalty function integral equation compound Poisson-Geometric Process interest rate |
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