A Markovian Risk Model with Batch Claim Arrival

摘要

This paper mainly studies a Markovian risk model with batch claim arrival, where the arrival of claim batches is a Markov-modulated Poisson process, each batch having a random number of claims. At first, we get the integral equation satisfied by the ruin probability and its asymptotic upper and below bouds. And at last we discuss the asymptotic estimation when the individual claim has exponential distribution.