Abstract
We investigate the ruin probability when the surplus process is governed by a generalized perturbed risk model with a Markov-switching
compensator. We suppose that the jump component of the perturbed
risk model is specified by a completely random measure process with the
compensator switching over time according to the states of an economy
described by a continuous-time hidden Markov chain model. Accordingly, we assume that the force of interest, the rate of premium and the diffusion volatility rate switch over time according to the states of the
economy. A simulation experiment will be conducted.
compensator. We suppose that the jump component of the perturbed
risk model is specified by a completely random measure process with the
compensator switching over time according to the states of an economy
described by a continuous-time hidden Markov chain model. Accordingly, we assume that the force of interest, the rate of premium and the diffusion volatility rate switch over time according to the states of the
economy. A simulation experiment will be conducted.
| Original language | English |
|---|---|
| Pages (from-to) | 1415-3014 |
| Journal | Applied Mathematical Sciences |
| Volume | 2 |
| Issue number | 29 |
| Publication status | Published - 2008 |
| Externally published | Yes |