Markov-Modulated风险模型的极大值、极小值及零点数的联合分布

The Joint Distribution of the Supremum, the Infimum and the Number of Zero in the Markov-Modulated Risk Model

摘要: 本文基于保险公司在首次破产后仍能继续运转的情形, 讨论并得到了Markov-modulated风险模型中关于末离零点前盈余过程极大值、极小值及零点数的联合分布.

Abstract: In this paper, when the surplus has negative value, we allow the surplus process to continue. We consider, in the Markov-modulated risk model, the joint distribution of the supremum, the infimum and the number of zero of the surplus process before it leaves zero ultimately.