On the Ruin Problem in a Markov-Modulated Risk Model

Xin Zhang ()
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Xin Zhang: Nankai University

Methodology and Computing in Applied Probability, 2008, vol. 10, issue 2, 225-238

Abstract: Abstract In this paper, we consider the compound Poisson risk model influenced by an external Markovian environment process, i.e. Markov-modulated compound Poisson model. The explicit Laplace transforms of Gerber–Shiu functions are obtained, while the explicit Gerber–Shiu functions are derived for the K n -family claim size distributions in the two-states case.

Keywords: Markov additive process; Laplace transform; Gerber–Shiu function; Markov-modulated compound Poisson model; 91b30 (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s11009-007-9044-4

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