摘要
本文主要对索赔记数过程是Erlang(2)过程,随机利率为一个L啨vy过程的风险模型进行了讨论.首先导出了破产概率满足的积分方程,估计了其上下界,然后针对随机利率为布朗运动以及漂移布朗运动的情况导出了破产概率满足的具体积分方程,最后讨论了罚金函数,并写出了罚金函数满足的积分方程以及在特殊情况下满足的积分微分方程.
In this paper,we consider the risk model for which the claim inter-arrival distribution is Erlang （2） and the stochastic interest process is a Lévy process. We derive the integral equatlon,lower and upper bounds for ruin probability. When the interest process is assumed Brownian Motion or Brownian Motion with drift, we obtain the specific integral equation for ruin probability. Finally we discuss the penalty function,and give the integral equation and integro-differential equation for it.
出处
《应用数学》
CSCD
北大核心
2006年第2期395-400,共6页
Mathematica Applicata
基金
国家自然科学基金(10471076)
山东省自然科学基金(Y2004A06)
