On the joint distribution of surplus before and after ruin under a Markovian regime switching model

Andrew C.Y. Ng and Hailiang Yang

Stochastic Processes and their Applications, 2006, vol. 116, issue 2, 244-266

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 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (14)

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