| 带扰动古典风险模型下的一些极值的联合分布 |
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| 引用本文： | 吕玉华,吴荣,徐润.带扰动古典风险模型下的一些极值的联合分布[J].工程数学学报,2006,23(2):355-360. |
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| 作者姓名： | 吕玉华 吴荣 徐润 |
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| 作者单位： | 曲阜师范大学数学院,山东,曲阜,273165;南开大学数学学院,天津,300071;南开大学数学学院,天津,300071;曲阜师范大学数学院,山东,曲阜,273165 |
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| 摘 要： | 本文研究了带扰动古典风险模型下的一些极值的联合分布,求出了破产前的资产余额极大值以及破产后到末离前的资产余额极大值等六个重要保险精算量的联合分布的精确表达式,文章最后求出破产前的资产余额极大值与此极大值的首达时的联合分布。
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| 关 键 词： | 古典风险模型 布朗运动 资产余额极大值 破产时 末离时 强马氏性 |
| 文章编号： | 1005-3085(2006)02-0355-06 |
| 收稿时间： | 2004-03-17 |
| 修稿时间： | 2004年3月17日 |
The Joint Distributions of Some Extrema for the Classical Risk Process Perturbed by Diffusion |
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| LU Yu-hua,WU Rong,XU Run.The Joint Distributions of Some Extrema for the Classical Risk Process Perturbed by Diffusion[J].Chinese Journal of Engineering Mathematics,2006,23(2):355-360. |
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| Authors: | LU Yu-hua WU Rong XU Run |
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| Affiliation: | 1. Department of Mathematics, Qufu Normal University, Shangdong 273165; 2. School of Mathematics, Nankai University, Tianjin 300071 |
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| Abstract: | The paper studies the distributions of some extrema for the classical risk process that is perturbed by diffusion. We obtain the explicit expression for the joint distribution of actuarial variables, which includes the supreme profits before ruin, the supreme profits until the surplus process leaves zero ultimately from the time of ruin and so on. Finally we get the joint distribution of the supreme profits before ruin and the first hitting time for this extremum. |
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| Keywords: | classical risk model Brownian motion supreme profits time of ruin ultimately leaving time strong markov property |
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