曲阜师范大学学报（自然科学版）2004，Vol.30Issue(4)：1-5,5.
资产与负债为几何布朗运动的风险模型的破产概率及最值分布
RUIN PROBABILITIES AND THE DISTRIBUTION OF MAXIMAL VALUE IN GEOMETRIC BROWNIAN MOTION MODEL FOR ASSETS AND LIABILITIES
摘要
Abstract
Asset and liability values are modelled by geometric Brownian motion. In the absence of dividends, the ruin probabilities and the distribution of maximal value in such model are obtained.关键词
几何布朗运动/分红/破产概率/资产/负债Key words
geometric Brownian motion/dividends barrier/ruin probability/asset/liability分类
数理科学引用本文复制引用
吕玉华,徐润,孔祥忠..资产与负债为几何布朗运动的风险模型的破产概率及最值分布[J].曲阜师范大学学报（自然科学版）,2004,30(4):1-5,5.基金项目
Supported by the National Natural Foundation of China(10271062) （10271062）
