| 带干扰风险模型的破产严重性及其恢复代价的测量 |
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| 引用本文： | 张春生,陈学民.带干扰风险模型的破产严重性及其恢复代价的测量[J].应用概率统计,2007,23(1):1-10. |
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| 作者姓名： | 张春生 陈学民 |
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| 作者单位： | 南开大学数学学院,天津,300071 |
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| 基金项目： | 国家自然科学基金;中国教育部博士论文计划基金 |
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| 摘 要： | 本文针对带干扰风险模型考虑了由Picard (1994)引进的破产最大严重程度和恢复所需代价的概念以及对它们的测量问题, 并给出了相应于Picard (1994)的各种公式的明确表达.
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| 关 键 词： | 破产的最大严重程度 恢复所需代价 局部鞅 伊藤公式 |
| 收稿时间： | 2003-03-20 |
| 修稿时间： | 2003-03-202006-01-09 |
Some Measures of the Severity of Ruin and the Cost of Recovery in the Classical Risk Model Disturbed by Diffusion |
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| ZHANG CHUNSHENG,CHEN XUEMIN.Some Measures of the Severity of Ruin and the Cost of Recovery in the Classical Risk Model Disturbed by Diffusion[J].Chinese Journal of Applied Probability and Statisties,2007,23(1):1-10. |
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| Authors: | ZHANG CHUNSHENG CHEN XUEMIN |
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| Institution: | Mathematical Sciences School, Nankai University, Tianjin, 300071 |
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| Abstract: | In this paper we consider the maximal severity of ruin and the cost of recovery which are proposed by Picard (1994).We will improve and extend the results in Picard (1994) from the classical risk model to the model disturbed by diffusion. |
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| Keywords: | Maximal severity of ruin cost of recovery local martingale It(o)'s formula |
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