带干扰风险模型的破产严重性及其恢复代价的测量

Some Measures of the Severity of Ruin and the Cost of Recovery in the Classical Risk Model Disturbed by Diffusion

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.
- 破产的最大严重程度 /
- 恢复所需代价 /
- 局部鞅 /
- 伊藤公式
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.
- Maximal severity of ruin /
- cost of recovery /
- local martingale /
- It\^{o}'s formula