Abstract
This article is devoted to studying a dual Markov-modulated risk model, which
can properly represent, to some extent, surplus processes of companies that pay
costs continuously and have occasional gains. We consider both the finite and
infnite horizon ruin probabilities under this dual model. Upper and lower bounds
of Lundberg type are derived for these ruin probabilities. We also obtain a timedependent version of Lundberg type inequalities.
can properly represent, to some extent, surplus processes of companies that pay
costs continuously and have occasional gains. We consider both the finite and
infnite horizon ruin probabilities under this dual model. Upper and lower bounds
of Lundberg type are derived for these ruin probabilities. We also obtain a timedependent version of Lundberg type inequalities.
| Original language | English |
|---|---|
| Pages (from-to) | 3298-3307 |
| Journal | Communications in Statistics - Theory and Methods |
| Volume | 37 |
| Issue number | 20 |
| DOIs | |
| Publication status | Published - 2008 |
| Externally published | Yes |