Survival probabilities in a discrete semi-Markov risk model

Mi Chen, Kam Chuen Yuen and Junyi Guo

Applied Mathematics and Computation, 2014, vol. 232, issue C, 205-215

Abstract: In this paper, we consider the survival probability for a discrete semi-Markov risk model, which assumes individual claims are influenced by a Markov chain with finite state space and there is autocorrelation among consecutive claim sizes. Our semi-Markov risk model is similar to the one studied in Reinhard and Snoussi (2001,2002) [1,2] without the restriction imposed on the distributions of the claims. In particular, the model of study includes several existing risk models such as the compound binomial model (with time-correlated claims) and the compound Markov binomial model (with time-correlated claims) as special cases. The main purpose of the paper is to develop a recursive method for computing the survival probability in the two-state model, and present some numerical examples to illustrate the application of our results.

Keywords: Generating function; Recursive formula; Semi-Markov risk model; Survival probability (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:232:y:2014:i:c:p:205-215

DOI: 10.1016/j.amc.2014.01.057

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