| 带干扰风险模型中破产概率的Feller表示及可微性 |
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| 引用本文： | 王过京,吴荣.带干扰风险模型中破产概率的Feller表示及可微性[J].应用数学学报,2000,23(3):337-341. |
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| 作者姓名： | 王过京 吴荣 |
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| 作者单位： | 1. 苏州大学数学系,苏州,215006
2. 南开大学数学系,天津,300071 |
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| 基金项目： | 国家自然科学基金和博士点基金资助项目. |
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| 摘 要： | 给出带干扰风险模型中破产概率的Ｆｅｌｌｅｒ表示，并证明带干扰风险模型的破产概率的二次连续可微性。
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| 关 键 词： | 风险模型 破产概率 Feller表示 可微性 干扰 |
THE FELLER EXPRESSION AND DIFFERENTIABILITY OF THE RUIN PROBABILITY IN THE RISK MODEL PERTURBED BY DIFFUSION |
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| WANG GUOJING,WU RONG.THE FELLER EXPRESSION AND DIFFERENTIABILITY OF THE RUIN PROBABILITY IN THE RISK MODEL PERTURBED BY DIFFUSION[J].Acta Mathematicae Applicatae Sinica,2000,23(3):337-341. |
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| Authors: | WANG GUOJING WU RONG |
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| Abstract: | in this paper, we present the Feller expression for the ruin probability of the classical risk model that is perturbed by diffusion. Basing on the Feller expression, we prove the twice continuous differentiability of the ruin pribability under certain conditions. |
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| Keywords: | Risk model ruin probability Feller expression |
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