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Applied Mathematics A Journal of Chinese Universities(Ser.A). 2010, (01) Core

Joint distribution of the extreme before ruin and the deficit in Markov-modulated risk modelChinese Full Text

DONG Ji-guo1,LIU Guo-xin2 (1.Math.and Inform.Sci.College,Hebei Normal Univ.,Shijiazhuang 050016,China;2.School of Sci.,Hebei Univ.of Tech.,Tianjin 300130,China)

Abstract: A Markov-modulated risk process was made into a strong Markov process by applying the theory of piecewise-deterministic Markov process and introducing a supplementary variable.Using the strong Markovian property and the distribution of first hitting time,the joint distribution of the extreme before ruin and the deficit at ruin in the model is derived.
Keywords：

Markov-modulated risk model; PDMP; supplementary variable;

  • DOI：

    10.13299/j.cnki.amjcu.001556

  • Series：

  • Subject：

  • Classification Code：

    O211.9

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