Title of article
On the joint distribution of surplus before and after ruin under a Markovian regime switching model
Author/Authors
Ng، نويسنده , , Andrew C.Y. and Yang، نويسنده , , Hailiang، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
23
From page
244
To page
266
Abstract
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.
Keywords
Markovian regime switching model , Ruin theory , Phase-type distribution , Expected discounted penalty function , Coupled system of integro-differential equations
Journal title
Stochastic Processes and their Applications
Serial Year
2006
Journal title
Stochastic Processes and their Applications
Record number
1577751
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