On the ruin problem in a Markov-modulated risk model

被引：15
|
作者：
Zhang, Xin [1 ,2 ]
机构：
[1] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China
[2] Nankai Univ, LPMC, Tianjin 300071, Peoples R China
来源：
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2008年 / 10卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Markov additive process; Laplace transform; Gerber-Shiu function; Markov-modulated compound Poisson model;
D O I：
10.1007/s11009-007-9044-4
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we consider the compound Poisson risk model influenced by an external Markovian environment process, i.e. Markov-modulated compound Poisson model. The explicit Laplace transforms of Gerber-Shiu functions are obtained, while the explicit Gerber-Shiu functions are derived for the K(n)-family claim size distributions in the two-states case.
引用
收藏
页码：225 / 238
页数：14
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