| Markov-Modulated风险模型的极大值、极小值及零点数的联合分布 |
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| 引用本文： | 董继国,刘国欣.Markov-Modulated风险模型的极大值、极小值及零点数的联合分布[J].应用概率统计,2011,27(5). |
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| 作者姓名： | 董继国 刘国欣 |
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| 作者单位： | 1. 河北师范大学数信学院,石家庄,050016
2. 河北工业大学理学院,天津,300130 |
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| 摘 要： | 本文基于保险公司在首次破产后仍能继续运转的情形,讨论并得到了Markov-modulated风险模型中关于末离零点前盈余过程极大值、极小值及零点数的联合分布.
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| 关 键 词： | Markov-modulated风险模型 逐段决定马尔可夫过程 补充变量 |
The Joint Distribution of the Supremum, the Infimum and the Number of Zero in the Markov-Modulated Risk Model |
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| DONG JIGUO,LIU GUOXIN.The Joint Distribution of the Supremum, the Infimum and the Number of Zero in the Markov-Modulated Risk Model[J].Chinese Journal of Applied Probability and Statisties,2011,27(5). |
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| Authors: | DONG JIGUO LIU GUOXIN |
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| Affiliation: | DONG JIGUO (Mathematics and Information Science College,Hebei Normal University,Shijiazhuang,050016) LIU GUOXIN (School of Sciences,Hebei University of Technology,Tianjin,300130) |
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| Abstract: | In this paper,when the surplus has negative value,we allow the surplus process to continue.We consider,in the Markov-modulated risk model,the joint distribution of the supremum,the infimum and the number of zero of the surplus process before it leaves zero ultimately. |
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| Keywords: | Markov-modulated risk model PDMP supplementary variable |
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