摘要
本文考虑了常利力下带干扰的双复合Poisson风险过程,借助微分和伊藤公式,分别获得了无限时和有限时生存概率的积分微分方程.当保费服从指数分布时,得到了无限时生存概率的微分方程.
In this paper, we consider the perturbed double compound Poisson risk process under constant interest force. Exponential type upper bounds are obtained for the ultimate ruin probability of this risk model by the way of martingale. For infinite time and finite time survival probabilities, we obtain the respective integro-differential equations. When the premiums are exponentially distributed, some differential equations are derived for infinite time survival probability.
出处
《应用概率统计》
CSCD
北大核心
2012年第1期31-42,共12页
Chinese Journal of Applied Probability and Statistics
基金
国家自然科学基金(10671032
10871001
60873176)
江苏省自然科学基金(BK2008006)
东南大学博士后基金(1107010100)
金科院教改项目(2010JCXM-02-8)资助
关键词
双复合泊松风险模型
布朗运动
跳跃扩散过程
生存概率
积分微分方程
Double compound Poisson risk process, Brown motion, jump-diffusion process, survival probability, integro-differential equations.
