Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4637799 | Journal of Computational and Applied Mathematics | 2017 | 11 Pages |
Abstract
In this paper, we use a discrete time Markov additive process to model the surplus process for an insurance company. Assume that the interclaim times and the claim sizes are both regulated by an underlying Markov chain. We present a recursive formula for the Gerber–Shiu function by two methods. Some numerical examples are also given to show the solution procedure.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Chaolin Liu, Zhimin Zhang, Hu Yang,