On the ruin problem in a Markov-modulated risk model

被引：15

作者：

Zhang, Xin ^{[1
,2
]}

机构：

[1] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

[2] Nankai Univ, LPMC, Tianjin 300071, Peoples R China

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2008年 / 10卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Markov additive process; Laplace transform; Gerber-Shiu function; Markov-modulated compound Poisson model;

D O I：

10.1007/s11009-007-9044-4

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we consider the compound Poisson risk model influenced by an external Markovian environment process, i.e. Markov-modulated compound Poisson model. The explicit Laplace transforms of Gerber-Shiu functions are obtained, while the explicit Gerber-Shiu functions are derived for the K(n)-family claim size distributions in the two-states case.

引用

页码：225 / 238

页数：14

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