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.
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页码：399 / 403
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