马氏调制费率的带干扰风险模型

考虑了一类具有马氏调制的带干扰连续时间风险模型,得到了该模型下其条件Gerber-Shiu折现罚金函数所满足的积分方程,Laplace变换及渐近解.在两状态情形下,当索赔额的分布为有理数情况时得到了条件Gerber-Shiu折现罚金函数的具体表达式并给出了数值例子

A Markov-Modulated Risk Model Perturbed by Diffusion

This paper studied a Markov-modulated premium income risk model perturbed by diffusion under the condition of continuous time.The integral representations for the conditional Gerber-Shiu discounted penalty functions and the Laplace transforms of them were derived,and the asymptotic estimates for the conditional Gerber-Shiu discounted penalty functions were also derived.Under the two states model,when the claim size distribution is from the rational family,the explicit solution for the conditional Gerber-Shiu discounted penalty functions was derived.As an application,a number example was given.