On the ruin problem in a Markov-modulated risk model

Xin Zhang

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

In this paper, we consider the compound Poisson risk model influenced by an external Markovian environment process, i.e. Markov-modulated compound Poisson model. The explicit Laplace transforms of Gerber–Shiu functions are obtained, while the explicit Gerber–Shiu functions are derived for the K n -family claim size distributions in the two-states case.
Original languageEnglish
Pages (from-to)225-238
Number of pages14
JournalMethodology and Computing in Applied Probability
Volume10
Issue number2
DOIs
Publication statusPublished - 2008
Externally publishedYes

Keywords

  • Markov additive process
  • Laplace transform
  • Gerber–Shiu function
  • Markov-modulated compound Poisson model

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