MO Xiaoyun, YANG Xiangqun
The Markov-modulated risk model U=(Q,G,F;J,S,X) is precisely depicted by using paths of stochastic processes,the model is vague generalization of available Markov-modulated risk models now. Based on the model U the Markov-modulated risk processes with premium-rate vector C and tax-vector γ, Ru={Ru(t), t≥0} and Ru(γ)={Ru(γ,t), t≥0}, are given respectively. Let a characteristic group A=(Q,G,F) be given, the model U is constructed by using probabilistic method. It establishes a rigorous foundation of stochastic processes researching Markov-modulated risk models and Markov-modulated risk processes by using the theory and methods of stochastic processes.