Parisian ruin probability for Markov additive risk processes

被引：3
|
作者：
Zhao, Xianghua [1 ]
Dong, Hua [1 ]
机构：
[1] Qufu Normal Univ, Sch Stat, Shandong, Peoples R China
来源：
ADVANCES IN DIFFERENCE EQUATIONS | 2018年
基金：
中国国家自然科学基金;
关键词：
Markov additive risk process; Parisian ruin; Scale matrices;
D O I：
10.1186/s13662-018-1600-4
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we consider a spectrally negative Markov additive risk process. Using the theory of Jordan chain, a compact formula of Parisian ruin probability is given. The formula depends only on the scale matrix of spectrally negative Markov additive risk processes and the transition rate matrix Lambda(q).
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收藏
页数：9
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