| 常利率风险模型中破产时刻、破产前瞬时盈余和破产赤字的矩 |
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| 引用本文： | 刘莉,朱利平. 常利率风险模型中破产时刻、破产前瞬时盈余和破产赤字的矩[J]. 应用概率统计, 2006, 22(4): 410-418 |
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| 作者姓名： | 刘莉 朱利平 |
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| 作者单位： | 1. 武汉大学数学与统计学院,武汉,430072;湖北大学数计学院,武汉,430062
2. 华东师范大学统计系,上海,200062 |
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| 基金项目： | 本文得到了华东师范大学博士研究生海外研修基金，华东师范大学2005年优秀博士研究生培养基金的资助． |
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| 摘 要： | 本文通过常利率风险模型中罚金折现期望值函数解的形式, 研究了破产时刻、破产前瞬时盈余和破产赤字矩的性质, 得到关于这些矩的递归表达式.
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| 关 键 词： | 罚金折现期望值 破产 矩 |
| 收稿时间： | 2004-03-02 |
| 修稿时间： | 2004-05-18 |
The Moments of the Time of Ruin, the Surplus before Ruin, and the Deficit at Ruin in the Risk Models with Constant Interest Rate |
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| LIU LI,ZHU LIPING. The Moments of the Time of Ruin, the Surplus before Ruin, and the Deficit at Ruin in the Risk Models with Constant Interest Rate[J]. Chinese Journal of Applied Probability and Statisties, 2006, 22(4): 410-418 |
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| Authors: | LIU LI ZHU LIPING |
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| Affiliation: | 1.School of Mathematics and Statistics, Wuhan University, Wuhan, 430072;2.Institute of Mathematics and Computer Science, Hubei University, Wuhan, 430062;3.Department of Mathmatical Statistical, East China Normal University, Shanghai, 200062 |
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| Abstract: | In this paper, by using the form of the solution for the expected value of a discounted function in the risk models with constant interest rate, properties of the joint and marginal moments of the time of ruin, the surplus before ruin and the deficit at ruin are studied, and recursive equations are obtained respectively. |
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