机构地区: 复旦大学数学科学学院数学研究所
出 处: 《复旦学报(自然科学版)》 2005年第3期462-465,共4页
摘 要: 从随机过程的角度来看,连续时间风险理论中讨论的许多模型是L啨vy过程.以经典的复合Poisson风险模型为例,利用L啨vy过程的L啨vy测度,对破产时损失及破产时刻的联合分布进行再讨论.此方法不受模型具体形式的制约,可以用于除复合Poisson模型以外更广泛的一类模型的研究. From the point of view of stochastic processes,many risk processes are Lévy processes.The classical risk process is considered and the joint distribution of the time of ruin and the loss at ruin is discussed with Lévy measure.It shows that the ruin problems under many risk processes including the classical risk process can be handled in this way.