Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4664427 | Acta Mathematica Scientia | 2010 | 7 Pages |
Abstract
We consider a continuous time risk model based on a two state Markov process, in which after an exponentially distributed time, the claim frequency changes to a different level and can change back again in the same way. We derive the Laplace transform for the first passage time to surplus zero from a given negative surplus and for the duration of negative surplus. Closed-form expressions are given in the case of exponential individual claim. Finally, numerical results are provided to show how to estimate the moments of duration of negative surplus.
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