On the Ruin Problem in a Markov-Modulated Risk Model |
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| Authors: | Xin Zhang |
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| Affiliation: | (1) School of Mathematical Sciences and LPMC, Nankai University, Tianjin, 300071, China |
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| Abstract: | In this paper, we consider the compound Poisson risk model influenced by an external Markovian environment process, i.e. Markov-modulated compound Poisson model. The explicit Laplace transforms of Gerber–Shiu functions are obtained, while the explicit Gerber–Shiu functions are derived for the K n -family claim size distributions in the two-states case. |
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| Keywords: | Markov additive process Laplace transform Gerber– Shiu function Markov-modulated compound Poisson model |
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