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

The Moments of the Time of Ruin, the Surplus before Ruin, and the Deficit at Ruin in the Risk Models with Constant Interest Rate

  • 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.

     

    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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