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: 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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