| 一类Cox风险过程中的三联分布(英文) |
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| 引用本文： | 宋敏,吴荣,王过京.一类Cox风险过程中的三联分布(英文)[J].应用概率统计,2010,26(6):597-604. |
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| 作者姓名： | 宋敏 吴荣 王过京 |
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| 作者单位： | 南开大学经济学院,南开大学数学科学学院,苏州大学数学系 |
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| 摘 要： | 本文研究了一类Cox风险过程破产时、破产瞬间前的余额、破产时的赤字这三个重要精算量的联合分布,并给出了一些密度测度的分布.
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| 关 键 词： | Cox风险过程 破产时 破产瞬间前的余额 赤字 |
On the Joint Distribution for a Kind of Cox Risk Process |
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| SONG MIN,WU RONG,WANG GUOJING.On the Joint Distribution for a Kind of Cox Risk Process[J].Chinese Journal of Applied Probability and Statisties,2010,26(6):597-604. |
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| Authors: | SONG MIN WU RONG WANG GUOJING |
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| Institution: | Nankai University,Suzhou University |
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| Abstract: | In this paper we study a kind of Cox risk process taking both risk and portfolio fluctuations into account. We obtain expressions for the joint distribution generated by the three actuarial diagnostics: the time of ruin, the surplus immediately before ruin and the deficit at ruin. Finally we investigate the so-called intensity measure of Cox process related to the model. |
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| Keywords: | Cox risk process time of ruin surplus before ruin deficit at ruin |
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