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引用本文:魏广华,高启兵,王晓谦.�����´����ŵ�˫����Poisson���չ��̵��������[J].应用概率统计,2012,28(1):31-42.
作者姓名:魏广华  高启兵  王晓谦
作者单位:??????????????,???????????????????????,??????????
基金项目:国家自然科学基金(10671032,10871001,60873176);江苏省自然科学基金(BK2008006);东南大学博士后基金(1107010100);金科院教改项目(2010JCXM-02-8)资助
摘    要:本文考虑了常利力下带干扰的双复合Poisson风险过程, 借助微分和伊藤公式, 分别获得了无限时和有限时生存概率的积分微分方程. 当保费服从指数分布时, 得到了无限时生存概率的微分方程.

关 键 词:双复合泊松风险模型  布朗运动  跳跃扩散过程  生存概率  积分微分方程

The Survival Probability for the Perturbed Double Compound Poisson Risk Process under Constant Interest Force
Wei Guanghua,Gao Qibing,Wang Xiaoqian.The Survival Probability for the Perturbed Double Compound Poisson Risk Process under Constant Interest Force[J].Chinese Journal of Applied Probability and Statisties,2012,28(1):31-42.
Authors:Wei Guanghua  Gao Qibing  Wang Xiaoqian
Institution:Department of Basic Courses, Jinling Institute of Technology,  School of Mathematics and Computer Science,; Nanjing Normal University, Department of mathematics, Southeast University  
Abstract:In this paper, we consider the perturbed double compound Poisson risk process under constant interest force. Exponential type upper bounds are obtained for the ultimate ruin probability of this risk model by the way of martingale. For infinite time and finite time survival probabilities, we obtain the respective integro-differential equations. When the premiums are exponentially distributed, some differential equations are derived for infinite time survival probability.
Keywords:Double compound Poisson risk process  Brown motion  jump-diffusion process  survival probability  integro-differential equations  
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