摘要
研究了一类马尔可夫风险模型的罚金函数,得到了罚金函数的期望所满足的积分方程,并由所得到的积分方程推出了破产概率所满足的积分方程及破产赤字的分布函数、破产赤字与破产前瞬时盈余的联合分布函数所满足的积分方程．
In this paper, we mainly discuss the ＂penalty function＂ of the risk processes of a Markovian risk model. Using the Integro - differential equation we established, we get the Integro - differential equation for the ruin probability, the distribution of the deficit at ruin, and the joint cumulative distribution of the deficit at ruin and the surplus before ruin respectively.
出处
《上海师范大学学报（自然科学版）》
2007年第1期12-16,共5页
Journal of Shanghai Normal University(Natural Sciences)
基金
Shanghai Normal Unversity(SQ200401).
关键词
积分方程
风险过程
罚金函数
破产赤字
破产前瞬时盈余
integro -differential equation
risk process
surplus before ruin and the deficit at ruin
penalty function
