马氏环境下带扰动的Cox相关的风险模型破产概率的上界估计  

UPPER BOUND ESTIMATION ON THE RUIN PROBABILITY FOR A COX CORRELATED RISK MODEL DISTURBED BY DIFFUSION IN A MARKOVIAN ENVIRONMENT

作　　者：刘艳[1] 胡亦钧[1] 

机构地区：[1]武汉大学数学与统计学院,武汉430072

出　　处：《数学年刊（A辑）》2004年第5期579-586,共8页Chinese Annals of Mathematics

基　　金：国家自然科学基金(No.10071058;No.70273029);教育部资助的项目.

摘　　要：本文讨论马氏环境下带随机扰动的保单数量过程与索赔次数过程Cox相关的风险模型.利用鞅方 法,给出了该风险模型的破产概率的指数上界.This paper considers a risk model in which the sold policy number process and the claim number process are correlated by the incorporation of a common Cox process. In addition, the model is disturbed by diffusion in a Markovian environment. The authors investigate the ruin probability and obtain the exponential upper bound for the ruin probability by a general martingale approach.

关 键 词：COX过程 破产概率 LUNDBERG不等式 扩散过程 (马氏)跳过程 

分 类 号：F224[经济管理—国民经济]