马氏环境下风险模型的破产问题
On the ruin problems of Markov-modulated risk model
在本篇文章中，我们考虑受马氏环境影响的复合泊松风险模型。我们明确给出了该模型的Gerber-Shiu函数的拉普拉斯变换，特别的对两个环境的模型，我们明确给出了Gerber-Shiu函数的表达式
In this paper, we consider the compound poisson risk model influenced by an external Markovian environment process, i.e. Markov-modulated compound Poisson model. The explicit Laplace transforms of Gerber-Shiu functions are obtained, while the explicit Gerber-Shiu functions are derived in the two-state case.
张鑫
数学
马尔科夫加过程拉普拉斯变换Gerber-Shiu函数马氏环境调节的复合泊松风险模型。
Markov additive processLaplace transformGerber-Shiu functionMarkov-modulated compound Poisson model.
张鑫.马氏环境下风险模型的破产问题[EB/OL].(2006-04-24)[2025-08-02].http://www.paper.edu.cn/releasepaper/content/200604-345.点此复制
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