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

Andrew  Ng; Hailiang Yang

doi:10.1016/j.spa.2005.09.008

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

Andrew Ng, Hailiang Yang^*

^*Corresponding author for this work

The University of Hong Kong

Research output: Contribution to journal › Article › peer-review

41 Citations (Scopus)

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.

Original language	English
Pages (from-to)	244-266
Number of pages	23
Journal	Stochastic Processes and their Applications
Volume	116
Issue number	2
DOIs	https://doi.org/10.1016/j.spa.2005.09.008
Publication status	Published - Feb 2006
Externally published	Yes

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Ng, A., & Yang, H. (2006). On the joint distribution of surplus prior and immediately after ruin under a Markovian regime switching model. Stochastic Processes and their Applications, 116(2), 244-266. https://doi.org/10.1016/j.spa.2005.09.008

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

Abstract

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