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On the joint distribution of surplus before and after ruin under a Markovian regime switching model |
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| Authors: | Andrew CY Ng Hailiang Yang |
| Institution: | Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, Hong Kong |
| Abstract: | We consider a Markovian regime switching insurance risk model (also called Markov-modulated risk model). The closed form solutions for the joint distribution of surplus before and after ruin when the initial surplus is zero or when the claim size distributions are phase-type distributed are obtained. |
| Keywords: | Markovian regime switching model Ruin theory Phase-type distribution Expected discounted penalty function Coupled system of integro-differential equations |
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