Some ruin problems for the MAP risk model

Jingchao Li, David C.M. Dickson and Shuanming Li

Insurance: Mathematics and Economics, 2015, vol. 65, issue C, 1-8

Abstract: We consider ruin problems for a risk model with a Markovian arrival process (MAP). In particular, we study (1) the density of the time of ruin under two different assumptions on the premium income, by using two approaches; (2) the probability function of the number of claims until the time of ruin; (3) the moments of the time of ruin by developing a recursive approach.

Keywords: MAP risk model; Finite time ruin probability; Density of time of ruin; Number of claims until ruin; Moments of time of ruin (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:65:y:2015:i:c:p:1-8

DOI: 10.1016/j.insmatheco.2015.08.001

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