天津师范大学学报（自然科学版）2008，Vol.28Issue(1)：55-59,5.
谱负Levy过程的三者联合密度函数与Gerber-Shiu折现罚金函数
The joint density function of three characteristics and the Gerber-Shiu discounted penalty function for the spectrally negative Levy process
摘要
Abstract
The spectrally negative Levy process starting at u(≥0) (namely the Levy process with no positive jumps) is regarded as the generalized risk model and the joint density function of three characteristics: the time of ruin, the surpluses immediately before and at ruin is obtained. Using the derived results and ∫∞0e-δtgt(x)dt where gt(x) is supposed to be the density function of the process at time t, the Gerber-Shiu discounted penalty function for the spectrally negative Levy process is proposed.关键词
谱负/联合密度函数/Gerber-Shiu折现罚金函数Key words
spectrally negative/joint density function/Gerber-Shiu discounted penalty function分类
数理科学引用本文复制引用
任晓艳,张春生..谱负Levy过程的三者联合密度函数与Gerber-Shiu折现罚金函数[J].天津师范大学学报（自然科学版）,2008,28(1):55-59,5.基金项目
Financial support from the National Natural Science Foundation of China (10571132) （10571132）
