DOUBLE-MARKOV RISK MODEL  

作　　者：莫晓云 周杰明 欧辉 杨向群 

机构地区：[1]College of Mathematics and Computer Science,Hunan Normal University [2]Hunan University of Finance and Economics [3]College of Mathematics and Computer Science,Key Laboratory of High Performance Computing and Stochastic Information Processing (Education Ministry of China),Hunan Normal University

出　　处：《Acta Mathematica Scientia》2013年第2期333-340,共8页数学物理学报（B辑英文版）

基　　金：supported by NSFC (11171101, 11271121);Doctoral Fund of Education Ministry of China (20104306110001);Scientific Research Fund of Hunan Provincial Education Department (12C0562)

摘　　要：Given a new Double-Markov risk model DM = （μ, Q, v, H; Y, Z） and Double-Markov risk process U = {U（t）, t 〉 0}. The ruin or survival problem is addressed. Equations which the survival probability satisfied and the formulas of calculating survival probability are obtained. Recursion formulas of calculating the survival probability and analytic expression of recursion items are obtained. The conclusions are expressed by Q matrix for a Markov chain and transition probabilities for another Markov Chain.Given a new Double-Markov risk model DM = （μ, Q, v, H; Y, Z） and Double-Markov risk process U = {U（t）, t 〉 0}. The ruin or survival problem is addressed. Equations which the survival probability satisfied and the formulas of calculating survival probability are obtained. Recursion formulas of calculating the survival probability and analytic expression of recursion items are obtained. The conclusions are expressed by Q matrix for a Markov chain and transition probabilities for another Markov Chain.

关 键 词：Q process Markov chain Double-Markov risk characterization survival prob-ability recursion formula 

分 类 号：O211.62[理学—概率论与数理统计] O211.67[理学—数学]