The Ezpected Discounted Penalty Function of M-dimensional Risk Model with Markov-modulated Premium Rate

摘要：

In this paper, we consider the expected discounted penalty function of m-dimensional risk model with markov-modulated premium rate. Using backward differential argument, we derive the integral equations satisfied by the conditional expected value and the expected value which is in the stationary case respectively. A system of Laplace transforms of the discounted penalty function, given the initial environment state, is established from a system of integro-differential equations. Also, an example where the intensity process is a two-state Markov process and the claims are exponentially distributed is given.

关键词： The Ezpected Discounted Penalty Function Ruin Probability Markov-modulated Laplace Transform

作者: YU Wenguang ZHAO Xia

作者单位: School of Statistics and Mathematics, Shandong Economic University, Jinan, P.R.China, 250014

会议类型: 国际会议

会议名称: 2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)

会议地点: 烟台

会议语种:英文

页码: 1-5

在线出版日期: 2008-08-14（万方平台首次上网日期，不代表论文的发表时间）