| Markov-modulated风险模型破产前最大盈余额与破产赤字的联合分布 |
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| 引用本文： | 董继国,刘国欣.Markov-modulated风险模型破产前最大盈余额与破产赤字的联合分布[J].高校应用数学学报(A辑),2010,25(1). |
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| 作者姓名： | 董继国 刘国欣 |
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| 作者单位： | 1. 河北师范大学数学与信息科学学院,河北石家庄,050016
2. 河北工业大学理学院,天津,300130 |
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| 摘 要： | 应用逐段决定马尔可夫过程理论及补充变量技巧,使Markov-modulated风险过程成为齐次强马尔可夫过程,然后利用强马氏性及首达时间分布给出了其破产前最大盈余额与破产赤字的联合分布.
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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 |
Joint distribution of the extreme before rum and the deficit in Markov-modulated risk model |
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| DONG Ji-guo,LIU Guo-xin.Joint distribution of the extreme before rum and the deficit in Markov-modulated risk model[J].Applied Mathematics A Journal of Chinese Universities,2010,25(1). |
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| Authors: | DONG Ji-guo LIU Guo-xin |
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| Abstract: | A Markov-modulated risk process was made into a strong Markov process by applying the theory of piecewise-deterministic Markov process and introducing a supplementary variable. Using the strong Markovian property and the distribution of first hitting time, the joint distribution of the extreme before ruin and the deficit at ruin in the model is derived. |
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| Keywords: | Markov-modulated risk model PDMP supplementary variable |
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