Article ID Journal Published Year Pages File Type
1152139 Statistics & Probability Letters 2013 6 Pages PDF
Abstract

In this paper, we present a result on the distribution of the maximum severity of ruin in a perturbed risk process with Markovian arrivals. We show that the distribution of the maximum severity of ruin is closely related to the distributions of one-sided and two-sided passage times.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
The maximum severity of ruin in a perturbed risk process with Markovian arrivals
Authors
, ,