A Markovian Risk Model with Batch Claim Arrival

被引：0

作者：

Gao Shan ^{[1
,2
]}

Zhang Deran ^{[2
]}

Liu Zaiming

机构：

[1] Cent S Univ, Dept Math, Changsha 410075, Hunan, Peoples R China

[2] Fuyang Normal Coll, Dept Math, Fuyang 236032, Anhui, Peoples R China

来源：

RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, VOLS I AND II | 2009年

关键词：

Markovian Risk Model; Ruin Probability; External Markovian Environment; PROBABILITY; RUIN;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper mainly studies a Markovian risk model with batch claim arrival, where the arrival of claim batches is a Markov-modulated Poisson process, each batch having a random number of claims. At first, we get the integral equation satisfied by the ruin probability and its asymptotic upper and below bounds. And at last we discuss the asymptotic estimation when the individual claim has exponential distribution.

引用

页码：1645 / 1649

页数：5

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