Finite-time Ruin Probabilities for the Two-dimensional Compound Binomial Model in Markovian Environment

摘要：

In recent years.the multi-dimensional risk model is a hot topic,and it is more realistic with the Markovian environment,which can be explained as the economic condition,in this paper,we propose the twodimensional compound binomial model in a Markovian environment.And we obtain the explicit recursive formulae for three types of finite-time survival or ruin probabilities which are of fundamental interests in risk management by the idea for first-step and last-step consideration.

关键词： Ruin probability Two-dimensional Compound binomial Markovian environment

作者: Yibin Yu Lixin Zhang Yi Zhang

作者单位: Department of Mathematics Zhejiang University Hangzhou,P.R.China 310027

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 905-909

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）