Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076483 | Insurance: Mathematics and Economics | 2015 | 8 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jingchao Li, David C.M. Dickson, Shuanming Li,