Markovian risk process

被引：0

作者：

王汉兴 ^{[1
]}

颜云志 ^{[2
]}

赵飞 ^{[2
]}

方大凡 ^{[3
]}

机构：

[1] China Lixin Risk Management Research Institute,Shanghai Lixin University of Commerce

[2] Department of Mathematics,Shanghai University

[3] Department of Mathematics,Hunan Institute of Science and Technology

来源：

Applied Mathematics and Mechanics(English Edition) | 2007年 / 07期

关键词：

risk process; ruin probability; Markov jump process;

D O I：

暂无

中图分类号：

O211.62 [马尔可夫过程];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A Markovian risk process is considered in this paper,which is the gener- alization of the classical risk model.It is proper that a risk process with large claims is modelled as the Markovian risk model.In such a model,the occurrence of claims is described by a point process {N(t)}t≥0with N(t) being the number of jumps during the interval(0,t]for a Markov jump process.The ruin probabilityΨ(u)of a company facing such a risk model is mainly studied.An integral equation satisfied by the ruin probability functionΨ(u)is obtained and the bounds for the convergence rate of the ruin probabilityΨ(u)are given by using a generalized renewal technique developed in the paper.

引用

页码：955 / 962

页数：8

共 3 条

[1] Ruin Probabilities under a Markovian Risk Model[J]. Han-xing Wang, Da-fan Fang, Mao-ning Tang Department of Mathematics and Information Science, Changsha University, Changsha 410003. China Department of Mathematics, Shanghai University, Shanghai 200436, China.Acta Mathematicae Applicatae Sinica（English Series）. 2003(04)
[2] Large deviations of heavy-tailed random sums with applications in insurance and finance
Kluppelberg, C
Mikosch, T
[J]. JOURNAL OF APPLIED PROBABILITY, 1997, 34 (02) : 293 - 308
[3] Expansions for Markov-modulated systems and approximations of ruin probability. Blaszczyszyn B,Roiski T. Journal of Applied Probability . 1996

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