Conditional Ruin Probability with a Markov Regime Switching Model

被引：0
|
作者：
Liu, Xuanhui [1 ]
Cui, Li-Ai [1 ]
Ren, Fangguo [2 ]
机构：
[1] Xian Polytech Univ, Sch Sci, Xian 710048, Peoples R China
[2] Shaanxi Normal Univ, Coll Math and Informat Sci, Xian 710062, Peoples R China
来源：
NONLINEAR MATHEMATICS FOR UNCERTAINTY AND ITS APPLICATIONS | 2011年 / 100卷
关键词：
Ruin probability; Regime-switching; Martingale; Jump-diffusion;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Ruin probabilities have been of a major interest in mathematical insurance. The diffusion process is used to the model of risk reserve of an insurance company usually. In this paper, we introduce a Markov chain and extend the Reserve processes to a jump-diffusion model and research the ruin probabilities. By using stochastic calculus techniques and the Martingale method a partial differential equation satisfied by the finite time horizon conditional ruin probability is obtained.
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页码：295 / +
页数：2
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