马氏风险过程

Markovian Risk Process

1.
China Linxin Risk Management Research Institute, Shanghai Lixin University of Commerce, Shanghai 201620, P. R. China;

摘要: 研究了一般马氏风险过程，它是经典风险过程的拓广．具有大额索赔的风险过程用此马氏风险模型来描述是适合的．在此模型中,索赔到达过程由一点过程来描述,该点过程是一马氏跳过程从0到t时间段内的跳跃次数．主要研究了此风险模型的破产概率,得到了破产概率满足的积分方程,并应用本文引入的广更新方法,得到了破产概率的收敛速度上界．
- 风险过程 /
- 破产概率 /
- 马氏跳过程
Abstract: A Markovian risk process is considered, which is the generalization of the classical risk model. It is proper that a risk process with large claims is modelled as the Markovian risk model. In such a model, the occurrence of claims was described by a point process with it being the number of jumps for a Markov jump process from time 0 to t. The ruin probability of a company facing such a risk model was mainly studied. An integral equation satisfied by the ruin probability was obtained and the bounds for the convergence rate of the ruin probability are given by using a generalized renewal technique.
- risk process /
- ruin probability /
- Markov jump process

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