A Renewal Equation for Expected Discounted Penalty at Ruin
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A Renewal Equation for Expected Discounted Penalty at Ruin
Vol. 14, Issue 1, Pages: 108-111(2009)
作者机构:
安徽建筑工业学院数理系
作者简介:
基金信息:
DOI:
CLC:O211
Published:2009
稿件说明:
移动端阅览
WANG Hou-chun, CAO He-you. A Renewal Equation for Expected Discounted Penalty at Ruin[J]. 2009, 14(1): 108-111.
DOI:
WANG Hou-chun, CAO He-you. A Renewal Equation for Expected Discounted Penalty at Ruin[J]. 2009, 14(1): 108-111.DOI:
A Renewal Equation for Expected Discounted Penalty at Ruin
摘要
考虑经典风险模型下带有一种随机利率的破产时罚金折现期望
其利率的随机性通过标准Wiener过程和Poisson过程来描述.就这种随机利率的情形
给出破产时罚金折现期望满足的积分-微分方程和更新方程.
Abstract
In the classical risk model
the expected discounted penalty at ruin with a stochastic interest rate is considered.The interest rate randomness is described by standard Wiener process and Poisson process.Under this stochastic interest rate
the integro-differential equation and the renewal equation for the expected discounted penalty at ruin are derived respectively.