Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077285 | Insurance: Mathematics and Economics | 2008 | 10 Pages |
Abstract
We consider a discrete time risk model where dividends are paid to insureds and the claim size has a discrete phase-type distribution, but the claim sizes vary according to an underlying Markov process called an environment process. In addition, the probability of paying the next dividend is affected by the current state of the underlying Markov process. We provide explicit expressions for the ruin probability and the deficit distribution at ruin by extracting a QBD (quasi-birth-and-death) structure in the model and then analyzing the QBD process. Numerical examples are also given.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Bara Kim, Hwa-Sung Kim, Jeongsim Kim,