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

页码：399 / 403

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