The Research about the Double Cox Risk Model in a Markovian Environment

ZHANG Li-fei; WANG Yong

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The Research about the Double Cox Risk Model in a Markovian Environment

更新时间：2026-07-10

- The Research about the Double Cox Risk Model in a Markovian Environment
- Vol. 14, Issue 2, Pages: 30-33(2009)
- 作者机构：
  
  哈尔滨工业大学数学系
- 作者简介：
- 基金信息：
- DOI：
  CLC： O211.6
- Published：2009
- 稿件说明：
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ZHANG Li-fei, WANG Yong. The Research about the Double Cox Risk Model in a Markovian Environment[J]. 2009, 14(2): 30-33.
DOI：

ZHANG Li-fei, WANG Yong. The Research about the Double Cox Risk Model in a Markovian Environment[J]. 2009, 14(2): 30-33. DOI：

摘要

研究了马氏环境下双Cox风险模型的折现罚金函数

利用后向差分法得到了折现罚金函数所满足的积分方程

进而得到了破产概率、破产前瞬时盈余、破产时赤字的各阶矩所满足的积分方程.

Abstract

In this paper

we research the expected discounted penalty function with double Cox risk model in a Markovian environment.By a backward differential argument

the integral equation satisfied by the expected discounted penalty function is driven.Then we get the equations satisfied by ruin probability

the moments of the surplus immediately prior to ruin and deficit at ruin.

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Related Institution

School of Applied Science, Harbin University of Science and Technology

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