几类风险模型中破产时间期望现值及其相关问题-概率论与数理统计专业论文.docxVIP

ABSTRACTSince ABSTRACT Since 1 998，Gerber and shiu advanced the Gerber-Shiu expected discounted penalty function in the classic risk model．Many scholars discuss the ordinary renewal risk model and the classic risk model perturbed bV diffhsion．On the basis of these results，In this assertion。we obtain the renewal equation of the expected present value of ruin time in ordinary renewal risk model．Furthermore．we generalize the model to renewal model wittI difmsion and obtain the renewal equation of the expected present value of ruin time in Erlang(n)risk model with diflusion． In charpter 1：W色introduce the risk theory precisely． In charpter 2：We mainly introduce some basic notation and methods which will be useful in the following charpters． In charpter 3：Based on the results of the discounted penalty function．we obtain the renewal function which satisfied by the expected present value of ruin time in ordinary renewal risk model．In addition．according to the relationship of ordinary renewal process and stationary renewal process，we get 、he the relation of the expected present value of ruin time in them． In charpter 4：We discuss exactly Erlang(n)risk model and obtain its renewal equation of the expected present value of ruin time．And we also get jts ruin probability in E11ite time and the moments of ultimate ruin time． In charpter 5：Furthermore。We generalize the ordinary renewal risk model to the one with diffusion，and obtain the renewal equation of the expected present value of ruin time，the integro．differential equation of the distribution ofthe maximum surplus before ruin in Erlang(n)risk model with difmsion． KEY WORDS renewal risk model，the expected present value of ruin time，the distribution of the maximum surplus IU 原创性声明本人声明，所呈交的学位论文是本人在导师指导下进行的研究工作 原创性声明 本人声明，所呈交的学位论文是本人在导师指导下进行的研究工作 及取得的研究成果。尽我所知，除了论文中特别加以标注和致谢的地方外， 论文中不包含其他人已经发表或撰写过的研究成果，也不包含为获得中南 大学或其他单位的学位或证书而使用过的材料。与我共同工作的同志对本 研究所作的贡献均已在在论文中作了明确的说明。 作者签名： ／耄兮头 关于学位论文使用授权说明 本人了解中南大学有关保留、使用学位论文的规定，即：学校有权 保留学位论文，