带扰动的连续时间复合二项模型的破产概率.pdf

河北工业大学 硕士学位论文 带扰动的连续时间复合二项模型的破产概率 姓名：孙梅慈 申请学位级别：硕士 专业：应用数学 指导教师：刘国欣  ℄ [13] Gerber[7] Poisson {(X (t),t)}( X (t)  t) Æ Lundberg Æ Lundberg i THE RUIN PROBABILITY OF CONTINUOUS-TIME COMPOUND BINOMIAL MODEL PERTURBED BY DIFFUSION ABSTRACT In this paper,we mainly studied the ruin probability of continuous-time compound binomial model perturbed by diffusion by virtue of Martingale technique. Distinguished from the continuous-time compound binomial model[13], the continuous-time model studied in this paper is another continuous ver- sion of compound binomial model in discrete time.Inspired by Gerber’s compound Poisson model purturbed by diffusion, we add an independent Browian motion to it to set up the continuous-time compound binomial model perturbed by diffusion.We mainly study the ruin probability of this model.We give the extended generator of {(X (t),t)} which is made up of the surplus process X (t)and the time t, and an exponential martin- gale is gotten by it.The theory of change of measures is developed for this model.We derive the general expressions for th