本文研究了带扰动古典风险模型下的一些极值的联合分布,求出了破产前的资产余额极大值以及破产后到末离前的资产余额极大值等六个重要保险精算量的联合分布的精确表达式,文章最后求出破产前的资产余额极大值与此极大值的首达时的联合分布。
The paper studies the distributions of some extrema for the classical risk process that is perturbed by diffusion. We obtain the explicit expression for the joint distribution of actuarial variables, which includes the supreme profits before ruin, the supreme profits until the surplus process leaves zero ultimately from the time of ruin and so on. Finally we get the joint distribution of the supreme profits before ruin and the first hitting time for this extremum.