| 一般风险模型的绝对破产时间(英文) |
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| 引用本文： | 杨虎,黄雯婷.一般风险模型的绝对破产时间(英文)[J].应用概率统计,2011(4). |
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| 作者姓名： | 杨虎 黄雯婷 |
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| 作者单位： | 重庆大学数学与统计学院; |
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| 摘 要： | 本论文研究了关于复合Possion风险模型中绝对破产的问题. 得到了关于罚金折现期望函数的积分微分方程,并在索赔函数为指数分布时,得到了关于罚金折现期望函数的确切解. 最后,作为一个新的讨论,当索赔函数为指数分布时,得到了关于恢复概率的确切值.
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| 关 键 词： | 绝对破产 罚金折现期望函数 积分微分方程 恢复概率 |
The Time Value of Absolute Ruin for a General Risk Model |
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| Yang Hu Huang Wenting.The Time Value of Absolute Ruin for a General Risk Model[J].Chinese Journal of Applied Probability and Statisties,2011(4). |
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| Authors: | Yang Hu Huang Wenting |
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| Institution: | Yang Hu Huang Wenting (College of Mathematics and Statistics,Chongqing University,Chongqing,401331) |
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| Abstract: | In this paper,we study the absolute ruin problems in a compound Poisson risk process.The integro-differential equations for the expected discounted penalty functions are derived,and some explicit expressions are given when the claims are exponentially distributed.Finally,by a 'renewal' argument,we obtain the explicit expression for the probability of the recovery when the claims are exponentially distributed. |
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| Keywords: | Absolute ruin expected discounted penalty function integro-differential equation probability of recovery |
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