摘要
在连续时间复合二项模型中定义Gerber-Shiu折扣罚函数,得到罚函数的方程,并求出初始余额为零时的破产概率。然后在带常值分红的连续时间风险模型中,得到破产前盈余,破产时刻的Laplace变换,破产赤字的矩满足的关系式。
The Gerber-Shiu discounted penalty function is defined in the continuous time compound binomial model,an equation that penalty function satisfies is obtained and the ruin probability is found out when the initial surplus is zero.Then,in the continuous time risk model with constant dividend Strategy,equations of the surplus before ruin,Laplace transform of the time to ruin,and moments of the deficit at ruin are obtained.
作者
葛世刚
魏静
仓定帮
GE Shi-gang;WEI Jing;CANG Ding-bang(School of Science,North China Institute of Science and Technology,Yanjiao,065201,China)
出处
《华北科技学院学报》
2018年第1期120-124,共5页
Journal of North China Institute of Science and Technology
基金
中央高校基本科研业务费资助(3142013023)
廊坊市科技局科学技术研究与发展计划项目(2016011048)
华北科技学院重点学科项目(06DV09)
关键词
连续时间复合二项模型
破产概率
破产前盈余
破产时刻
破产赤字
continuous-time compound binomial model
ruin probability
surplus before ruin
time to ruin
deficit at ruin
