| 马氏调节风险模型下的破产前盈余分布 |
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| 引用本文： | 张 敏,张志民.马氏调节风险模型下的破产前盈余分布[J].江西师范大学学报(自然科学版),2016,40(6):608-612. |
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| 作者姓名： | 张 敏 张志民 |
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| 作者单位： | 1.眉山职业技术学院,四川 眉山 620000; 2.重庆大学数学与统计学院,重庆 401331 |
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| 摘 要： | 对在马氏调节风险过程中破产前盈余和破产时赤字的联合分布进行研究.该过程中的泊松索赔到达速率和索赔额分布随时间改变,并取决于1个潜在的马尔科夫跳过程的状态.推广了Dickson公式,并证明了破产前盈余的分布函数和密度函数均能由破产概率表示出来.
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| 关 键 词： | 马氏调节风险模型 破产时刻 破产前盈余 破产时赤字 Dickson公式 |
On the Distribution of the Surplus Before Ruin in a Markov-Modulated Risk Model |
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| ZHANG Min,ZHANG Zhimin.On the Distribution of the Surplus Before Ruin in a Markov-Modulated Risk Model[J].Journal of Jiangxi Normal University (Natural Sciences Edition),2016,40(6):608-612. |
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| Authors: | ZHANG Min ZHANG Zhimin |
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| Institution: | 1.Meishan Vocational and Technical College,Meishan Sichuan 620000; 2.College of Mathematics and Statistics,Chongqing University,Chongqing 401331 |
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| Abstract: | The joint distribution of the surplus before ruin and the deficit at ruin in a Markov-modulated risk process in which the rate for the Poisson claim arrivals and the distribution of the claim sizes vary in time depending on the state of an underlying(external)Markov jump process is studied.The Dickson’s formula from the classical risk model to the Markov-modulated risk model is extended and it is shown that both of the distribution function and density function of the surplus before ruin can be expressed in terms of the ruin probabilities. |
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| Keywords: | Markov-modulated risk model time of ruin surplus before ruin deficit at ruin dickson’s formula |
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