کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9552806 | 1374150 | 2005 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the probability of ruin in a Markov-modulated risk model
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we consider a Markov-modulated risk model in which the claim inter-arrivals, claim sizes and premiums are influenced by an external Markovian environment process. A system of Laplace transforms of non-ruin probabilities, given the initial environment state, is established from a system of integro-differential equations derived by Reinhard [Reinhard, J.M., 1984. On a class of semi-Markov risk models obtained as classical risk models in a Markovian environment. ASTIN Bull., 14, 23-43]. In the two-state model, explicit formulas for non-ruin probabilities are obtained when the initial reserve is zero or when both claim size distributions belong to the Kn-family, nâN+. Examples are given with claim sizes that have exponential, Erlang and a mixture of exponential distributions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 37, Issue 3, 16 December 2005, Pages 522-532
Journal: Insurance: Mathematics and Economics - Volume 37, Issue 3, 16 December 2005, Pages 522-532
نویسندگان
Yi Lu, Shuanming Li,