摘要
讨论带干扰的经典风险过程在破产时刻的余额分布，给出此分布所满足的积分方程，利用积分方程证明该分布的二次连续可微性．利用二次连续可微性导出该分布所满足的积分－微分方程．当索赔服从指数分布时给出该分布的明确表达式．
In this paper the surplus distribution of the classical risk process perturbed by diffusion at the time of ruin is discussed and derive the integral equation satisfied by it is derived, proving its twice continuous differentiability and present the integro differential equation satisfied by it. A simple and explicit expression can be oftained for it when the claims are exponentially distributed.
出处
《南开大学学报（自然科学版）》
CAS
CSCD
北大核心
1999年第3期25-29,共5页
Acta Scientiarum Naturalium Universitatis Nankaiensis
关键词
风险过程
破产时刻
余额分布
干扰
保险公司
risk process
surplus distribution at the time of ruin
integro differential equation
