CAJ | 학술논문

本文研究了随机投资回报环境下扰动的随机保费模型的破产问题.利用鞅方法和随机分析的理论讨论了盈余过程的一些基本性质,得到了一个可以用来求解破产时刻的Laplace变换的积分微分方程,结果推广了已有的随机投资问报风险模型的结论.
본문연구료수궤투자회보배경하우동적수궤보비모형적파산문제.이용앙방법화수궤분석적이론토론료영여과정적일사기본성질,득도료일개가이용래구해파산시각적Laplace변환적적분미분방정,결과추엄료이유적수궤투자문보풍험모형적결론.
In this article, the perturbed classical risk model allows for extra stochastic premium income and stochastic return on investment are studied. By applying martingale method and theory related to stochastic analysis, some properties of risk model are presented and an integrodifferential equation for solving the Laplace transform of the ruin time is established. The results of this article generalize some results on the risk model without stochastic premium income.