马氏环境下带扰动的Cox相关的风险模型破产概率的上界估计

UPPER BOUND ESTIMATION ON THE RUIN PROBABILITY FOR A COX CORRELATED RISK MODEL DISTURBED BY DIFFUSION IN A MARKOVIAN ENVIRONMENT

本文讨论马氏环境下带随机扰动的保单数量过程与索赔次数过程Cox相关的风险模型.利用鞅方 法,给出了该风险模型的破产概率的指数上界.

This paper considers a risk model in which the sold policy number process and the claim number process are correlated by the incorporation of a common Cox process. In addition, the model is disturbed by diffusion in a Markovian environment. The authors investigate the ruin probability and obtain the exponential upper bound for the ruin probability by a general martingale approach.