Asymptotic solution of expected discounted penalty in the compound binomial model(离散时间模型下的罚金折现期望的渐近解)
在调节系数存在的前提下,对于充分大的初始盈余,利用离散更新方程的一个极限定理,给出了罚金折现期望Φ(u;ω)的渐近解.然后通过对ω的不同形式的讨论,得出f(u;x),g(u,y)与ψ(u)的渐近解.
Main Author: | WANGShao-feng(王绍锋) |
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Format: | Article |
Language: | zho |
Published: |
Zhejiang University Press
2007-03-01
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Series: | Zhejiang Daxue xuebao. Lixue ban |
Subjects: | |
Online Access: | https://doi.org/zjup/1008-9497.2007.34.2.139-142 |
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