WASET

	%0 Journal Article
	%A Dongdong Zhang and  Deran Zhang
	%D 2011
	%J International Journal of Mathematical and Computational Sciences
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 60, 2011
	%T Ruin Probability for a Markovian Risk Model with Two-type Claims
	%U https://publications.waset.org/pdf/8414
	%V 60
	%X In this paper, a Markovian risk model with two-type claims is considered. In such a risk model, the occurrences of the two type claims are described by two point processes {Ni(t), t &cedil; 0}, i = 1, 2, where {Ni(t), t &cedil; 0} is the number of jumps during the interval (0, t] for the Markov jump process {Xi(t), t &cedil; 0} . The ruin probability &ordf;(u) of a company facing such a risk model is mainly discussed. An integral equation satisfied by the ruin probability &ordf;(u) is obtained and the bounds for the convergence rate of the ruin probability &ordf;(u) are given by using key-renewal theorem.

	%P 1860 - 1863