马氏调制费率下的双险种风险模型的破产概率

Ruin Probability in a Double-Type-Insurance Risk Model with Markov-Modulated Premium Rate

引入了一类具有马氏调制费率的双险种风险模型,在双险种的条件下,对于给定的初始状态,求出了条件破产概率满足的积分方程,并推导出具有平稳初始状态分布的破产概率的递归不等式和初始准备金为零时的破产概率的上界.

A double-type-insurance risk model with Markov-modulated premium rate is introduced. Under the condition of double-type-insurance, a integral equation for the conditional ruin probability is obtained. Furthermore, a recursive inequality for the ruin probability with the stationary initial distribution and the upper bound for the ruin probability with no initial reserve are given.