Article ID Journal Published Year Pages File Type
5076483 Insurance: Mathematics and Economics 2015 8 Pages PDF
Abstract
We consider ruin problems for a risk model with a Markovian arrival process (MAP). In particular, we study (1) the density of the time of ruin under two different assumptions on the premium income, by using two approaches; (2) the probability function of the number of claims until the time of ruin; (3) the moments of the time of ruin by developing a recursive approach.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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