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《Journal of Nantong University(Natural Science Edition)》 2013-01
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A Markov Risk Model of Mixed Distributions with the Claim Inter-arrival Times

LIU Cheng-lin(Department of Applied Mathematics,Shanghai University of Finance and Economics,Shanghai 200433,China)  
The risk model under Markov process environment with claim inter-arrival time obeyed to mixing exponential and Erlang(2) distribution is taken into consideration.According to the Markov modulation model,an integro-differential equation for the simplified Gerber-Shiu function is derived,thus the formula for ruin probability is obtained.An example is used in two process environments,the numerical results are as expected.
【Fund】: 国家自然科学基金项目(NSFC10971127)
【CateGory Index】: O211.62
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