带干扰的马氏环境下的破产概率(英文)

Ruin Probability for the Risk Process Perturbed by Diffusion in a Markovian Environment

主要讨论了带干扰的马氏环境下的破产概率,在该模型中,顾客索赔到来次数由一个点过程{Nt,t≥0}来描述,且该点过程是一Cox过程.同时本文还比较了带干扰的经典风险模型与该模型下的破产概率,最后得到了破产概率的渐近估计下界.

The authors mainly discuss the ruin probability for the risk process perturbed by diffusion in a Markovian environment. In the considered risk model, the number of the claim in the time interval (0,t] is described by a point process {Nt, t≥0}, and {Nt, t≥0} is a Cox process. And we compare the ruin probability in the classical risk model perturbed by diffusion and the ruin probability discussed in this paper. In the end the asymptotic property of the ruin probability is obtained.