A note on a discrete time MAP risk model

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:309

Article

Liu, Chaolin¹  Zhang, Zhimin¹  Yang, Hu¹ 

[1] Chongqing Univ, Coll Math & Stat, Chongqing 401331, Peoples R China

关键词: MAP;    Gerber-Shiu function;    Recursive formula;    Ruin probability;   

DOI  :  10.1016/j.cam.2016.06.034

来源: Elsevier

【 摘 要 】

In this paper, we use a discrete time Markov additive process to model the surplus process for an insurance company. Assume that the interclaim times and the claim sizes are both regulated by an underlying Markov chain. We present a recursive formula for the Gerber-Shiu function by two methods. Some numerical examples are also given to show the solution procedure. (C) 2016 Elsevier B.V. All rights reserved.

【 授权许可】

Free