含贷款利率复合Poisson模型破产严重程度的度量研究.pdfVIP

河北工业大学 硕士学位论文 含贷款利率复合Poisson模型破产严重程度的度量 姓名：邵卓 申请学位级别：硕士 专业：应用数学 指导教师：刘国欣 Poisson  Poisson   Poisson Gerber(1971)[9] Poisson Picard(1994)[6]  (f, g) Poisson ℄  i Poisson ON SOME MEASURES OF THE SEVERITY OF RUIN IN THE COMPOUND POISSON MODEL WITH DEBIT INTEREST RATE ABSTRACT In this paper, we mainly studied some measures of the severity of ruin in the compound poisson model with debit interest rate. The compound poisson model with debit interest rate, firstly proposed by Gerber(1971)[9]. It is further expansion of the compound poisson model. When surplus is negative, the company debit from the bank in order to continue to manage, and of course they have to pay interest. Enlightened by Picard(1994)[6], we get some measures of the severity. First we introduce a pair function (f, g), then we get the expectation and the variance of the linear sum, the expectation of the duration and the cost from ruin to recovery or absolute ruin followed exponential claim through constructing martingale. Then, we obtained the probability function, t