## 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 |
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Pages (from-to) | 1415-3014 |

Journal | Applied Mathematical Sciences |

Volume | 2 |

Issue number | 29 |

Publication status | Published - 2008 |

Externally published | Yes |