The maximum severity of ruin in a perturbed risk process with Markovian arrivals

In this paper, we present a result on the distribution of the maximum severity of ruin in a perturbed risk process with Markovian arrivals. We show that the distribution of the maximum severity of ruin is closely related to the distributions of one-sided and two-sided passage times.

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Year of publication:	2013
Authors:	Li, Shuanming ; Ren, Jiandong
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 4, p. 993-998
Publisher:	Elsevier
Subject:	Perturbed risk processes \| Markovian arrival processes \| First passage times \| Time of recovery \| Maximum severity of ruin

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010662338