张媛媛, 王文胜. 带常利率的扰动复合泊松风险模型[J]. 应用概率统计, 2015, 31(4): 375-383.
引用本文: 张媛媛, 王文胜. 带常利率的扰动复合泊松风险模型[J]. 应用概率统计, 2015, 31(4): 375-383.
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Zhang Yuanyuan, Wang Wensheng. The Perturbed Compound Poisson Risk Model with Constant Interest[J]. Chinese Journal of Applied Probability and Statistics, 2015, 31(4): 375-383.
Citation: Zhang Yuanyuan, Wang Wensheng. The Perturbed Compound Poisson Risk Model with Constant Interest[J]. Chinese Journal of Applied Probability and Statistics, 2015, 31(4): 375-383.
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带常利率的扰动复合泊松风险模型

The Perturbed Compound Poisson Risk Model with Constant Interest

    摘要
  • 摘要: 本文考虑带常利率的扰动复合泊松风险模型, 得到了Gerber-Shiu折现罚金函数所满足的积分-微分方程, 并且得到了最终破产概率的精确渐进表达式.

     

    Abstract: This study has considered the compound Poisson risk model perturbed by diffusion with constant interest and obtained an integral-differential equation for the Gerber-Shiu discounted penalty function. Asymptotic expression for the ultimate ruin probability also derived across the study.

     

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