马氏环境下带扰动的变利率模型的风险理论(英文)  

RISK THEORY FOR THE MODEL WITH VARIABLE PREMIUM RATE AND 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,湖北武汉430072

出　　处：《数学杂志》2004年第5期473-478,共6页Journal of Mathematics

基　　金：SupportedbytheNationalNaturalScienceFoundationofChina (1 0 0 71 0 5870 2 730 2 9)

摘　　要：本文研究马氏环境下带扰动的变利率的Cox风险模型 .证明了该模型的最终生存概率 (或最终破产概率 )满足一定的瑕疵更新方程 ,并利用更新理论给出了其Cram啨ｒ Lundberg渐近性质 .本文还推导出最终生存概率 (或最终破产概率 )的卷积公式 ,从而推广了文献 [1In this paper, we consider a Cox risk model with variable premium rate and disturbed by diffusion in a Markovian environment. It is shown that the ultimate survival probability (or the ultimate ruin probability) satisfies certain defective renewal equation, and then its Cramér-Lundberg asymptotic property is investigated by using the standard techniques of renewal theory. In addition, the convolution formula for the probability of ultimate survival (or the ultimate ruin probability) is derived. The corresponding results of \ are extended.

关 键 词：COX风险模型 变利率 扩散过程 (马氏)跳过程 

分 类 号：O211.9[理学—概率论与数理统计]