马氏环境中的风险过程

Risk Process in a Markovian Environment

本文引入随机环境建立了马氏环境中的风险过程 ,主要研究了马氏环境中风险过程的破产概率 Ψ(u) ,给出了 Ψ(0 )的明确表达式 ,并且证明了当初始资本 u趋于正无穷大时 ,Ψ(u)收敛于 0 。

We introduce stochastic environments and develop the risk process in a Markovian en vironment .The ruin probability Ψ(u) in the process is studied. We give an explicit expression for Ψ(0) and prove that Ψ(u) converges to 0 as the initial capital u tends to be +∞ and its rate of convergence.