摘要
研究了马氏环境下双Cox风险模型的折现罚金函数,利用后向差分法得到了折现罚金函数所满足的积分方程,进而得到了破产概率、破产前瞬时盈余、破产时赤字的各阶矩所满足的积分方程.
In this paper, we research the expected discounted penalty function with double Cox risk model in a Markovian environment. By a backward differential argument, the integral equation satisfied by the expected discounted penalty function is driven. Then we get the equations satisfied by ruin probability, the moments of the surplus immediately prior to ruin and deficit at ruin.
出处
《哈尔滨理工大学学报》
CAS
北大核心
2009年第2期30-33,共4页
Journal of Harbin University of Science and Technology
基金
国家自然科学基金(10771044)
黑龙江省自然科学基金(200605)
关键词
马尔可夫链
COX风险模型
折现罚金函数
破产概率
破产前瞬时盈余
破产赤字
Markov chain
Cox risk model
the expected discounted penalty function
ruin probability
the moments of the surplus immediately prior to ruin
deficit at ruin
