The maximum severity of ruin in a perturbed risk process with Markovian arrivals

Shuanming Li and Jiandong Ren

Statistics & Probability Letters, 2013, vol. 83, issue 4, 993-998

Abstract: In this paper, we present a result on the distribution of the maximum severity of ruin in a perturbed risk process with Markovian arrivals. We show that the distribution of the maximum severity of ruin is closely related to the distributions of one-sided and two-sided passage times.

Keywords: Perturbed risk processes; Markovian arrival processes; First passage times; Time of recovery; Maximum severity of ruin (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2012.12.019

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