摘要
本文对风险理论中的经典风险过程和带干扰复合Ｐｏｉｓｓｏｎ过程的破产概率函数的可微性进行了讨论，指出了过去在这个问题上存在的一些问题，并对 Ｅｍｂｒｅｃｈｔｓ（１９９４）文献中有关绝对连续性和完全单调性问题的证明中错误予以改正．
In this paper. the Differentiabilities on the probability functions of ruin of the classical risk model and the compound Poisson model that is perturbed by diffusion are discussed and some misunderstanding on differen- tiability are cleared up. In addition some errors in the proofs of Embrechts and Schmidli (1994) on complete monotonicity and absolute continuity are corrected.
出处
《应用概率统计》
CSCD
北大核心
2001年第3期267-275,共9页
Chinese Journal of Applied Probability and Statistics
基金
国家自然科学基金资助项目
No.16971047
国家教委博士点基金项目.
