Journal article

Some ruin problems for the MAP risk model

Jingchao Li, David CM Dickson, Shuanming Li

Insurance: Mathematics and Economics | ELSEVIER | 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.