On the joint distribution of surplus before and after ruin under a Markovian regime switching model

We consider a Markovian regime switching insurance risk model (also called Markov-modulated risk model). The closed form solutions for the joint distribution of surplus before and after ruin when the initial surplus is zero or when the claim size distributions are phase-type distributed are obtained.

MoreLess

Year of publication:	2006
Authors:	Ng, Andrew C.Y. ; Yang, Hailiang
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 116.2006, 2, p. 244-266
Publisher:	Elsevier
Keywords:	Markovian regime switching model Ruin theory Phase-type distribution Expected discounted penalty function Coupled system of integro-differential equations

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874054