On the joint distribution of surplus before and after ruin under a Markovian regime switching model

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:116

Article

Ng, ACY ; Yang, HL

关键词: Markovian regime switching model;    ruin theory;    phase-type distribution;    expected discounted penalty function;    coupled system of integro-differential equations;   

DOI  :  10.1016/j.spa.2005.09.008

来源: Elsevier

【 摘 要 】

We consider a Markovian regime switching insurance risk model (also called Markov-modulated risk model). The closed form solutions for the joint distribution of surplus before and after ruin when the initial surplus is zero or when the claim size distributions are phase-type distributed are obtained. (C) 2005 Elsevier B.V. All rights reserved.

【 授权许可】

Free