| 带借贷利率和干扰的双Poisson-Geometric风险过程模型 |
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| 引用本文： | 王月明,魏广华,郭楠,高艳艳.带借贷利率和干扰的双Poisson-Geometric风险过程模型[J].西南农业大学学报,2019,41(11):54-63. |
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| 作者姓名： | 王月明 魏广华 郭楠 高艳艳 |
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| 作者单位： | 1. 南京工程学院 数理部, 南京 211167;2. 金陵科技学院 理学院, 南京 211169 |
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| 基金项目： | 国家自然科学基金项目（61374080，11271193）；江苏高校自然科学研究项目（11KJB110005）. |
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| 摘 要： | 考虑了带借贷利率及干扰的双复合Poisson-Geometric风险过程,借助全期望公式、微分和伊藤积分等知识,并综合引起破产的原因得到无限时破产概率积分微分方程和有限时破产概率的积分偏微分方程.
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| 关 键 词： | 借贷 复合Poisson-Geometric过程 布朗运动 破产概率 积分微分方程 积分偏微分方程 |
| 收稿时间： | 2017/7/13 0:00:00 |
A Perturbed Double Compound Poisson-Geometric Risk Process Model with Debit Interest |
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| WANG Yue-ming,WEI Guang-hu,GUO Nan,GAO Yan-yan.A Perturbed Double Compound Poisson-Geometric Risk Process Model with Debit Interest[J].Journal of Southwest Agricultural University,2019,41(11):54-63. |
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| Authors: | WANG Yue-ming WEI Guang-hu GUO Nan GAO Yan-yan |
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| Institution: | 1. Department of Mathematics and Physics, Nanjing Institute of Technology, Nanjing 211167, China;2. School of Science, Jinling Institute of Technology, Nanjing 211169, China |
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| Abstract: | In this paper, we consider a risk model which is a perturbed double compound Poisson-Geometric process with debit interest. We obtain the Integro-differential equation for infinite time ruin probability and then derive the integral partial differential equation for finite time ruin probability by total expectation formula, differential calculus, Ito formula and other knowledge and the causes of ruin. |
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| Keywords: | debit compound Poisson-Geometric process Brown motion ruin probability integro-differential equation integral partial differential equation |
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