We consider a risk model with a premium rate which varies with the level of free reserves. In this model, the occurrence of claims is described by a Cox process with Markov intensity process, and the influence of stoc...We consider a risk model with a premium rate which varies with the level of free reserves. In this model, the occurrence of claims is described by a Cox process with Markov intensity process, and the influence of stochastic factors is considered by adding a diffusion process. The integro-differential equation for the ruin probability is derived by a infinitesimal method. Key words ruin probability - variable premium rate - diffusion process - Markov intensity CLC number O 211.9 Foundation item: Supported by the National Natural Science Foundation of China (10071058, 70273029)展开更多
文摘We consider a risk model with a premium rate which varies with the level of free reserves. In this model, the occurrence of claims is described by a Cox process with Markov intensity process, and the influence of stochastic factors is considered by adding a diffusion process. The integro-differential equation for the ruin probability is derived by a infinitesimal method. Key words ruin probability - variable premium rate - diffusion process - Markov intensity CLC number O 211.9 Foundation item: Supported by the National Natural Science Foundation of China (10071058, 70273029)
