WANG Han-xing, YAN Yun-zhi, ZHAO Fei, FANG Da-fan. Markovian Risk Process[J]. Applied Mathematics and Mechanics, 2007, 28(7): 853-860.
Citation: WANG Han-xing, YAN Yun-zhi, ZHAO Fei, FANG Da-fan. Markovian Risk Process[J]. Applied Mathematics and Mechanics, 2007, 28(7): 853-860.

Markovian Risk Process

  • Received Date: 2006-11-07
  • Rev Recd Date: 2007-04-26
  • Publish Date: 2007-07-15
  • A Markovian risk process is considered, which is the generalization of the classical risk model. It is proper that a risk process with large claims is modelled as the Markovian risk model. In such a model, the occurrence of claims was described by a point process with it being the number of jumps for a Markov jump process from time 0 to t. The ruin probability of a company facing such a risk model was mainly studied. An integral equation satisfied by the ruin probability was obtained and the bounds for the convergence rate of the ruin probability are given by using a generalized renewal technique.
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