DURATION OF NEGATIVE SURPLUS FOR A TWO STATE MARKOV-MODULATED RISK MODEL |
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Authors: | Ma Xuemin Yuan Haili Hu Yijun |
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Institution: | School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China |
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Abstract: | We consider a continuous time risk model based on a two state Markov process, in which after an exponentially distributed time, the claim frequency changes to a different level and can change back again in the same way. We derive the Laplace transform for the first passage time to surplus zero from a given negative surplus and for the duration of negative surplus. Closed-form expressions are given in the case of exponential individual claim. Finally, numerical results are provided to show how to estimate the moments of duration of negative surplus. |
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Keywords: | Homogeneous Markov process ruin probability deficit duration of negative surplus compound Poisson risk model |
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