A Diffusion Risk Model with Two Dependent Classes of Risk Processes Under Constant Interest Rate

doi:10.16389/j.cnki.cn42-1737/n.2015.06.006

Journal of Jianghan University(Natural Science Edition) ›› 2015, Vol. 43 ›› Issue (6): 513-517.doi: 10.16389/j.cnki.cn42-1737/n.2015.06.006

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A Diffusion Risk Model with Two Dependent Classes of Risk Processes Under Constant Interest Rate

HE Xiaoli¹，YU Guosheng^*1，YAO Zheng¹，YAO Chunlin¹，CHEN Huabin²

1. School of Mathematics and Computer Science，Jianghan University，Wuhan 430056，Hubei，China；2. School of Science，Nanchang University，Nanchang 330031，Jiangxi，China

Online:2015-12-28 Published:2016-01-12
Contact: YU Guosheng
About author:余国胜（1980—），男，讲师，博士，研究方向：随机动力系统、金融数学。E-mail：guosyujianghanun@126.com

Abstract

Abstract: A diffusion risk model which premium obeyed the Poisson- Geometric process with two dependent classes of risk processes under constant interest rate was considered，the correlated two claims in the counting process were transformed through model into independent Poisson- Geometric and generalized Erlang（n）processes. Integro-differential equations were obtained.

Key words: ruin probability, Poisson-Geometric process, generalized Erlang（n）processes, diffusion, discounted penalty function

CLC Number:

O211.6

HE Xiaoli，YU Guosheng，YAO Zheng，YAO Chunlin，CHEN Huabin. A Diffusion Risk Model with Two Dependent Classes of Risk Processes Under Constant Interest Rate[J]. Journal of Jianghan University(Natural Science Edition), 2015, 43(6): 513-517.

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A Diffusion Risk Model with Two Dependent Classes of Risk Processes Under Constant Interest Rate

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