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| 引用本文： | ��溳�,�ձغ�. ���ϵ��ڷ���ģ���µ�����ʱ���Ʋ�����[J]. 应用概率统计, 2020, 36(2): 197-209. DOI: 10.3969/j.issn.1001-4268.2020.02.008 |
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| 作者姓名： | ��溳� �ձغ� |
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| 作者单位： | ????????????????, ????, 518000 |
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| 摘 要： |
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| 关 键 词： | ????????????? ????????? ????????? ?????? |
Some Finite Time Ruin Problems in Markov-Modulated Risk Model |
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| LI Jingchao,SU Bihao. Some Finite Time Ruin Problems in Markov-Modulated Risk Model[J]. Chinese Journal of Applied Probability and Statisties, 2020, 36(2): 197-209. DOI: 10.3969/j.issn.1001-4268.2020.02.008 |
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| Authors: | LI Jingchao SU Bihao |
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| Affiliation: | College of Mathematics and Statistics, Shenzhen University, Guangdong, 518000, China |
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| Abstract: | ??This paper studies the distribution of finite-time ruin quantities. It gives the probability mass function of finite time number of claims, and find the distribution function of aggregate claims by using discretise method and compared with exact distribution function, which shows that the approximation works very well. In addition, by applying decomposition for density function, it gives the explicit expression for joint density of ruin time and deficit at ruin. |
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| Keywords: | Markov-Modulated risk model distribution of number of claims distribution of aggregate claim amount joint density |
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