摘要
本文主要考虑带投资收益的风险模型,在该模型下保险人可以根据盈余投资,投资的数量为时间t的函数,我们得到保险人投资策略与破产概率与t时刻所满足的积分-微分方程.
In this paper,we consider a risk model with stochastic return on investments,ln this model,the insurrs can invest according to the surplus and the amount of investment is a non-negative function of t. we derive the ruin probability and the investment stragegy statify integro-differential equation.
出处
《数学理论与应用》
2006年第4期36-39,共4页
Mathematical Theory and Applications
关键词
鞅
随机指数
破产概率
积分-微分方程
martingale stochastic exponential ruin probability integro-differential equation
