Ruin probability with variable premium rate and disturbed by diffusion in a Markovian environment

被引：0
|
作者：
Liu, Yan [1 ]
Hu, Yi-Jun [1 ]
机构：
[1] Sch. of Math. and Stat., Wuhan Univ., Wuhan 430072, China
来源：
Wuhan University Journal of Natural Sciences | 2004年 / 9卷 / 04期
关键词：
D O I：
10.1007/bf02830430
中图分类号：
学科分类号：
摘要：
We consider a risk model with a premium rate which varies with the level of free reserves. In this model, the occurrence of claims is described by a Cox process with Markov intensity process, and the influence of stochastic factors is considered by adding a diffusion process. The integro-differential equation for the ruin probability is derived by an infinitesimal method.
引用
收藏
页码：399 / 403
相关论文
共 50 条
  • [1] Ruin Probability with Variable Premium Rate and Disturbed by Diffusion in a Markovian Environment
    LIU Yan
    WuhanUniversityJournalofNaturalSciences, 2004, (04) : 399 - 403
  • [2] Probability of ruin with variable premium rate in a Markovian environment
    Jasiulewicz, H
    INSURANCE MATHEMATICS & ECONOMICS, 2001, 29 (02): : 291 - 296
  • [3] Ruin Probability for the Model with a Constant Interest Rate and Disturbed by Diffusion in a Markovian Environment
    Huang Yujuan
    Yu Wenguang
    RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, VOLS I AND II, 2009, : 1415 - 1419
  • [4] The Probability of Ruin in a Markovian Environment
    Wang, Haohua
    Ou, Yigui
    Kuang, Qiaojuan
    INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS & STATISTICS, 2012, 28 (04): : 12 - 17
  • [5] The probability of ruin in a Markovian environment
    Department of Mathematics, Hainan University, Haikou, 570228, China
    Int. J. Appl. Math. Stat., 4 (12-17):
  • [6] The Ruin Probability with Variable Premium in Ordinary Renewal Diffusion Risk Model
    Jia Xuelan
    Zhao Mingqing
    RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, VOLS I AND II, 2009, : 1405 - 1408
  • [7] RUIN PROBABILITY IN A RISK MODEL WITH VARIABLE PREMIUM INTENSITY AND RISKY INVESTMENTS
    Mishura, Yuliya
    Perestyuk, Mykola
    Ragulina, Olena
    OPUSCULA MATHEMATICA, 2015, 35 (03) : 333 - 352
  • [8] Ruin Probability in the Jump-diffusion Risk Model with the Variable Limit of Ruin
    Cheng Junxiang
    Zhang Xinfang
    DATA PROCESSING AND QUANTITATIVE ECONOMY MODELING, 2010, : 146 - 149
  • [9] Risk Models with Stochastic Premium and Ruin Probability Estimation
    Temnov G.
    Journal of Mathematical Sciences, 2014, 196 (1) : 84 - 96
  • [10] Ruin probability for a model under Markovian switching regime
    Yang, H
    Yin, G
    PROBABILITY, FINANCE AND INSURANCE, 2004, : 206 - 217
12345