马尔可夫环境下Cox风险模型的破产概率  

The Probability of Ruin in the Cox Risk Model Under Markovian Environment

作　　者：肖建明 刘嘉怡 Xiao Jianming;Liu Jiayi(Department of Financial Mathematics and Financial Computing,Renmin University of China,Beijing 100872,China;School of Economics,Lanzhou University,Lanzhou 730000,China)

机构地区：[1]中国人民大学金融数学与金融计算系,北京100872 [2]兰州大学经济学院,甘肃兰州730000

出　　处：《南开大学学报（自然科学版）》2024年第2期114-120,共7页Acta Scientiarum Naturalium Universitatis Nankaiensis

摘　　要：研究马尔可夫环境下带扰动的变利率的一般模型.利用Grandell的一些技巧,得到了一般情况下的破产概率的上界和两个特殊情况下的破产概率上节.最后给出了一个实例.A more general model is considered which has a variable premium rate and is disturbed by diusion in a Markovian environment.The probability of ruin is investigated and its sharp upper bounds in general and two special cases are obtained by means of some techniques used by Grandell.An example is given at the end.

关 键 词：COX风险模型 马尔可夫环境 破产概率 变利率 

分 类 号：O211.9[理学—概率论与数理统计]