The maximum severity of ruin in a perturbed risk process with Markovian arrivals

被引：8

作者：

Li, Shuanming ^{[1
]}

Ren, Jiandong ^{[2
]}

机构：

[1] Univ Melbourne, Ctr Actuarial Studies, Dept Econ, Melbourne, Vic 3010, Australia

[2] Univ Western Ontario, Dept Stat & Actuarial Sci, London, ON N6A 3K7, Canada

来源：

STATISTICS & PROBABILITY LETTERS | 2013年 / 83卷 / 04期

基金：

加拿大自然科学与工程研究理事会;

关键词：

Perturbed risk processes; Markovian arrival processes; First passage times; Time of recovery; Maximum severity of ruin; DISCOUNTED PENALTY; 1ST PASSAGE; SURPLUS; TIME;

D O I：

10.1016/j.spl.2012.12.019

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we present a result on the distribution of the maximum severity of ruin in a perturbed risk process with Markovian arrivals. We show that the distribution of the maximum severity of ruin is closely related to the distributions of one-sided and two-sided passage times. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：993 / 998

页数：6

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