| 一类马尔可夫风险模型罚金函数的期望 |
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| 引用本文： | 熊双平.一类马尔可夫风险模型罚金函数的期望[J].上海师范大学学报(自然科学版),2007,36(1):12-16. |
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| 作者姓名： | 熊双平 |
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| 作者单位： | 上海师范大学,数理信息学院,上海,200234 |
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| 基金项目： | Shanghai Normal Unversity（ SQ200401 ）. |
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| 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．
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| 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 |
| 文章编号： | 23958173 |
| 修稿时间： | 05 20 2006 12:00AM |
Expected value of a penalty function for a markovian risk model |
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| XIONG Shuang-ping.Expected value of a penalty function for a markovian risk model[J].Journal of Shanghai Normal University(Natural Sciences),2007,36(1):12-16. |
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| Authors: | XIONG Shuang-ping |
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| Institution: | Mathmatics and Sciences College, Shanghai Normal University, Shanghai 200234, China |
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| Abstract: | 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. |
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| Keywords: | integro -differential equation risk process surplus before ruin and the deficit at ruin penalty function |
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