| THE RISK MODEL OF THE EXPECTED DISCOUNTED PENALTY FUNCTION WITH CONSTANT INTEREST FORCE |
| |
| 引用本文： | 刘莉 茆诗松. THE RISK MODEL OF THE EXPECTED DISCOUNTED PENALTY FUNCTION WITH CONSTANT INTEREST FORCE[J]. 数学物理学报(B辑英文版), 2006, 26(3): 509-518 |
| |
| 作者姓名： | 刘莉 茆诗松 |
| |
| 作者单位： | School of Mathematics and Statistics Wuhan University Wuhan 430072，China School of Mathematics and Computer Science，Hubei University，Wuhan 430062，China，Department of Statistics East China Normal University，Shanghai 200062，China |
| |
| 摘 要： | In this article, the expected discounted penalty functionΦδ,α(u) with constant interest 5 and "discounted factor" exp(-αTδ) is considered. As a result, the integral equation ofΦδ,α(u) is derived and an exact solution forΦδ,α(0) is found. The relation between the joint density of the surplus immediately prior to ruin, and the deficit at ruin and the density of the surplus immediately prior to ruin is then obtained based on analytical methods.
|
| 关 键 词： | 毁灭 处罚函数 积分方程 赤字 经济数学 |
| 收稿时间： | 2003-10-03 |
THE RISK MODEL OF THE EXPECTED DISCOUNTED PENALTY FUNCTION WITH CONSTANT INTEREST FORCE |
| |
| Liu Li, Mao Shisong. THE RISK MODEL OF THE EXPECTED DISCOUNTED PENALTY FUNCTION WITH CONSTANT INTEREST FORCE[J]. Acta Mathematica Scientia, 2006, 26(3): 509-518 |
| |
| Authors: | Liu Li Mao Shisong |
| |
| Abstract: | |
| |
| Keywords: | Ruin penalty function integral equation surplus prior to ruin deficit at ruin |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
