Total duration of negative surplus for a MAP risk model |
| |
Authors: | Hua Dong Xiang-hua Zhao |
| |
Institution: | 1. School of Statistics, Qufu Normal University, Qufu, 273165, China
|
| |
Abstract: | In this paper, we study the risk model with Markovian arrivals where we allow the surplus process to continue if the surplus falls below zeroWe first derive expressions for the severity of ruinThen by using the strong Markovian property of a two-dimensional Markov process and the expression for the severity of ruin, we obtain the Laplace transform of the total duration of negative surplus. |
| |
Keywords: | |
本文献已被 CNKI 万方数据 SpringerLink 等数据库收录! |
|