A Markovian Risk Model with Batch Claim Arrival

摘要：

This paper mainly studies a Markovian risk model with batch claim arrival, where the arrival of claim batches is a Markov-modulated Poisson process, each batch having a random number of claims. At first, we get the integral equation satisfied by the ruin probability and its asymptotic upper and below bouds. And at last we discuss the asymptotic estimation when the individual claim has exponential distribution.

关键词： Markovian Risk model Ruin Probability Ezternal Markovian Environment

作者: GAO Shan ZHANG Deran LIU Zaiming

作者单位: Department of Mathematics, Central South University, Changsha, Hunan 410075, China Department of Mat Department of Mathematics, Fuyang Normal College, Fuyang, Anhui 236032, China

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-5

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）