Jiang, Zhengjun - In: Scandinavian actuarial journal 2022 (2022) 3, pp. 234-243
Suppose that risk reserves of an insurance company are governed by a Markov-modulated classical risk model with parameters modulated by a finite-state irreducible Markov chain. The main purpose of this paper is to calculate ultimate ruin probability that ruin time, the first time when risk...