کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4628040 | 1631822 | 2014 | 11 صفحه PDF | دانلود رایگان |
In this paper, we consider the survival probability for a discrete semi-Markov risk model, which assumes individual claims are influenced by a Markov chain with finite state space and there is autocorrelation among consecutive claim sizes. Our semi-Markov risk model is similar to the one studied in Reinhard and Snoussi (2001,2002) [1,2] without the restriction imposed on the distributions of the claims. In particular, the model of study includes several existing risk models such as the compound binomial model (with time-correlated claims) and the compound Markov binomial model (with time-correlated claims) as special cases. The main purpose of the paper is to develop a recursive method for computing the survival probability in the two-state model, and present some numerical examples to illustrate the application of our results.
Journal: Applied Mathematics and Computation - Volume 232, 1 April 2014, Pages 205–215