Double-markov risk model |
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| Authors: | Xiaoyun MO Jieming ZHOU Hui OU Xiangqun YANG |
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| Affiliation: | 1. College of Mathematics and Computer Science, Hunan Normal University, Changsha 410081, China;2. Hunan University of Finance and Economics, Changsha 410205, China;3. College of Mathematics and Computer Science, Key Laboratory of High Performance Computing and Stochastic Information Processing (Education Ministry of China), Hunan Normal University, Changsha 410081, China |
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| Abstract: | Given a new Double-Markov risk model DM=(μ,Q,ν,H;Y,Z) and Double-Markov risk process U={U(t),t≥ 0}. The ruin or survival problem is addressed. Equations which the survival probability satisfied and the formulas of calculating survival probability are obtained. Recursion formulas of calculating the survival probability and analytic expression of recursion items are obtained. The conclusions are expressed by Q matrix for a Markov chain and transition probabilities for another Markov Chain. |
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| Keywords: | Q process Markov chain Double-Markov risk characterization survival probability recursion formula |
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