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2015 Volume 37 Issue 9
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WEI Guang-hua,GAO Qi-bing,LIU Guo-xiang,WANG Xiao-qian. A Perturbed Double Arrival Process Risk Model with Debit Interest[J]. Journal of Southwest University Natural Science Edition, 2015, 37(9). doi: 10.13718/j.cnki.xdzk.2015.09.013
Citation: WEI Guang-hua,GAO Qi-bing,LIU Guo-xiang,WANG Xiao-qian. A Perturbed Double Arrival Process Risk Model with Debit Interest[J]. Journal of Southwest University Natural Science Edition, 2015, 37(9). doi: 10.13718/j.cnki.xdzk.2015.09.013
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A Perturbed Double Arrival Process Risk Model with Debit Interest

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    沈阳化工大学材料科学与工程学院 沈阳 110142

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A Perturbed Double Arrival Process Risk Model with Debit Interest

Abstract: In this paper ,we consider a risk model which is a perturbed double arrival process with debit in‐terest .We obtain the integro‐differential equation for infinite time ruin probability and then derive the inte‐gral partial differential equation for finite time ruin probability by the total probability formula ,the differ‐ential calculus and Ito's formula .When the claims are exponentially distributed ,a differential equation is derived for infinite time ruin probability .

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