We consider a risk model with a premium rate which varies with the level of free reserves.In this model,the occurrence of claims is described by a Cox process with Markov intensity process,and the influence of stochas...We consider a risk model with a premium rate which varies with the level of free reserves.In this model,the occurrence of claims is described by a Cox process with Markov intensity process,and the influence of stochastic factors is considered by adding a diffusion process.The integro-differential equation for the ruin probability is derived by a infinitesimal method.展开更多
基金Supported by the National Natural Science Foundation of China(10071058,70273029)
文摘We consider a risk model with a premium rate which varies with the level of free reserves.In this model,the occurrence of claims is described by a Cox process with Markov intensity process,and the influence of stochastic factors is considered by adding a diffusion process.The integro-differential equation for the ruin probability is derived by a infinitesimal method.
