Markovian risk process  

作　　者：王汉兴 颜云志 赵飞 方大凡 

机构地区：[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

出　　处：《Applied Mathematics and Mechanics(English Edition)》2007年第7期955-962,共8页应用数学和力学（英文版）

摘　　要：A Markovian risk process is considered in this paper, which is the generalization 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≥0 with N（t） being the number of jumps during the interval （0, t] for a Markov jump process. The ruin probability ψ（u） of a company facing such a risk model is mainly studied. An integral equation satisfied by the ruin probability function ψ（u） is obtained and the bounds for the convergence rate of the ruin probability ψ（u） are given by using a generalized renewal technique developed in the paper.A Markovian risk process is considered in this paper, which is the generalization 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≥0 with N（t） being the number of jumps during the interval （0, t] for a Markov jump process. The ruin probability ψ（u） of a company facing such a risk model is mainly studied. An integral equation satisfied by the ruin probability function ψ（u） is obtained and the bounds for the convergence rate of the ruin probability ψ（u） are given by using a generalized renewal technique developed in the paper.

关 键 词：risk process ruin probability Markov jump process 

分 类 号：O211.62[理学—概率论与数理统计]