| 一类随机利率下的破产时罚金折现期望 |
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| 引用本文： | 王后春.一类随机利率下的破产时罚金折现期望[J].应用概率统计,2008,24(6):631-638. |
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| 作者姓名： | 王后春 |
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| 作者单位： | 安徽建筑工业学院数理系,合肥,230022 |
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| 基金项目： | 安徽建筑工业学院硕博科研启动项目 |
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| 摘 要： | 本文在经典风险模型下, 引进带有一种随机利率的破产时罚金折现期望的概念, 其利率的随机性通过标准Wiener过程和Poisson过程来描述. 给出破产时罚金折现期望所满足的更新方程, 并利用这个更新方程给出破产时罚金折现期望的渐近公式.
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| 关 键 词： | 破产时罚金折现期望 更新方程 标准Wiener过程 Poisson过程 破产概率. |
The Expected Discounted Penalty at Ruin under a Stochastic Interest Rate |
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| WANG HOUCHUN.The Expected Discounted Penalty at Ruin under a Stochastic Interest Rate[J].Chinese Journal of Applied Probability and Statisties,2008,24(6):631-638. |
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| Authors: | WANG HOUCHUN |
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| Institution: | Department of Mathematics & Physics;Anhui University of Architecture;Hefei;230022 |
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| Abstract: | In the classical risk model,the conception of the expected discounted penalty at ruin with a stochastic interest rate is introduced.The interest randomness is described by standard Wiener process and Poisson process.The renewal equation for the expected discounted penalty at ruin is derived,and the asymptotic formula for it is derived by virtue of this equation. |
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| Keywords: | Expected discounted penalty at ruin renewal equation standard Wiener process Poisson process ruin probability |
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