Yang, Hu; Zhang, Zhimin; Lan, Chunmei - In: Statistics & Probability Letters 79 (2009) 1, pp. 21-28
In this paper, we extend the compound binomial risk model to a Markov dependent model in which the claim occurrence and the claim amount are both regulated by a discrete time Markov process. The explicit expression for the "discounted" joint probability function of the surplus before ruin and...