Ruin problems in a discrete Markov risk model

Hu Yang, Zhimin Zhang and Chunmei Lan

Statistics & Probability Letters, 2009, vol. 79, issue 1, 21-28

Abstract: In this paper, we extend the compound binomial risk model to a Markov dependent model in which the claim occurrence and the claim amount are both regulated by a discrete time Markov process. The explicit expression for the "discounted" joint probability function of the surplus before ruin and the deficit at ruin is derived when the initial surplus u=0, and a recursive formula to calculate such "discounted" joint probability function when the initial surplus u>0 is also obtained.

Date: 2009
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