数学杂志2004，Vol.24Issue(5)：473-478,6.
马氏环境下带扰动的变利率模型的风险理论
RISK THEORY FOR THE MODEL WITH VARIABLE PREMIUM RATE AND DISTURBED BY DIFFUSION IN A MARKOVIAN ENVIRONMENT
摘要
Abstract
In 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 renewal theory. In addition, the convolution formula for the probability of ultimate survival (or the ultimate ruin probability) is derived. The corresponding results of [1] are extended.关键词
Cox风险模型/变利率/扩散过程/(马氏)跳过程Key words
Cox risk model/variable premium rate/diffusion process/(Markovian)jump process分类
数理科学引用本文复制引用
刘艳,胡亦钧..马氏环境下带扰动的变利率模型的风险理论[J].数学杂志,2004,24(5):473-478,6.基金项目
Supported by the National Natural Science Foundation of China (10071058,70273029) （10071058,70273029）
