A Markov Risk Model with Two Classes of Insurance Business |
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| Authors: | Fei Zhao Rong-Xian Yue Han-Xing Wang |
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| Institution: | 1. Mathematics and Science College , Shanghai Normal University , Shanghai , P. R. China;2. Business Information Management School , Shanghai Institute of Foreign Trade , Shanghai , P. R. China zhaofei79@126.com;4. Division of Scientific Computation , E-Institute of Shanghai Universities, and Scientific Computing Key Laboratory of Shanghai Universities , Shanghai , P. R. China;5. School of Mathematics and Information , Shanghai Lixin University of Commerce , Shanghai , P. R. China |
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| Abstract: | A Markov risk model with two classes of insurance business is studied. In this model, the two classes of insurance business are independent. Each of the two independent claim number processes is the number of jumps of a Markov jump process from time 0 to t, whichever has not independent increments in general. An integral equation satisfied by the ruin probability is obtained and the bounds for the convergence rate of the ruin probability are given by using a generalized renewal technique. |
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| Keywords: | Markov jump process Risk model Ruin probability |
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