Journal article
Some ruin problems for the MAP risk model
J Li, DCM Dickson, S Li
Insurance Mathematics and Economics | Published : 2015
Abstract
We consider ruin problems for a risk model with a Markovian arrival process (MAP). In particular, we study (1) the density of the time of ruin under two different assumptions on the premium income, by using two approaches; (2) the probability function of the number of claims until the time of ruin; (3) the moments of the time of ruin by developing a recursive approach.