具有马尔可夫链依赖结构模型的破产概率

The Ruin Probabilities of the Risk Model with a Markov Chain Dependence Structure

基于经典风险模型,研究了随机保费收入下的破产概率问题.在净损失(Zk)k>0具有马氏性的假设下,定义了相依结构的转换密度.通过将马尔可夫链理论应用到其相关计算中,得出了增量(Zk)k>0相依情况下破产概率的显示表达式.

Based on the classical risk model,the problem of ruin probability under stochastic premium income was studied.Under the assumption that the net loss has Markov property,the conversion density of dependent structures is defined.Applying the Markov chain theory to its related calculation,the explicit expression of the ruin probability is obtained.