工程数学学报
工程數學學報
공정수학학보
CHINESE JOURNAL OF ENGINEERING MATHEMATICS
2013年
2期
278-282
,共5页
Laplace 变换%扰动风险模型%破产时刻%盈余过程%两步保费率
Laplace 變換%擾動風險模型%破產時刻%盈餘過程%兩步保費率
Laplace 변환%우동풍험모형%파산시각%영여과정%량보보비솔
Laplace transform%perturbed risk model%ruin time%surplus process%two-step premium rate
本文探讨了具有两步保费率的扰动风险模型,对其破产前首次通过某一给定水平的时间的拉普拉斯变换进行了研究,由强马氏性和位移算子得出了破产前最大盈余、破产前瞬时盈余及破产赤字的联合分布.
本文探討瞭具有兩步保費率的擾動風險模型,對其破產前首次通過某一給定水平的時間的拉普拉斯變換進行瞭研究,由彊馬氏性和位移算子得齣瞭破產前最大盈餘、破產前瞬時盈餘及破產赤字的聯閤分佈.
본문탐토료구유량보보비솔적우동풍험모형,대기파산전수차통과모일급정수평적시간적랍보랍사변환진행료연구,유강마씨성화위이산자득출료파산전최대영여、파산전순시영여급파산적자적연합분포.
@@@@In this paper, we consider a perturbed risk model with a two-step premium rate and investigate the Laplace transform of the first passage time across a given level before ruin. By using the strong Markov property and shift operator, we obtain the joint distribution of the maximal surplus before ruin, the surplus immediately before ruin and the deficit at ruin, associated with the ruin time.
