一类离散时间风险模型的广义期望贴现惩罚函数

摘要

研究一类具有随机保费收入的离散时间更新风险过程，并且假设无风险利率是一个齐次不可约的马尔可夫链。通过讨论Lundberg基本方程的根，得到了广义期望贴现惩罚函数的解析表达，给出了一些相关破产量的分析表达式。%Investigated a class of discrete time renewal risk process with random premium income,in which the risk-free interest rate was assumed to be a homogeneous irreducible Markov chain.By discussing the root of the Lundberg′s fundamental equation,obtained an explicit expression for the generalized expected discounted penalty function,gave the analytical expressions for some relative ruin quantities.