The probability of ruin in a Markovian environment

被引：0
作者：
Wang, Haohua [1 ]
Ou, Yigui [1 ]
Kuang, Qiaojuan [1 ]
机构：
[1] Department of Mathematics, Hainan University, Haikou, 570228, China
来源：
International Journal of Applied Mathematics and Statistics | 2012年 / 28卷 / 04期
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D O I：
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中图分类号：
O211 [概率论（几率论、或然率论）];
学科分类号：
摘要：
In this paper, the probability of ruin is investigated in a Markovian environment, in which the claim sizes are influenced by an external Markovian process. Recursive equations for finite time ruin probability and distribution of ruin time are derived.Aslo, the ultimate ruin probability and the joint distribution of surplus before and after ruin are obtained. © 2011-12 by IJAMAS, CESER Publications.
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页码：12 / 17
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