TY - JFULL
AU - Dongdong Zhang and Deran Zhang
PY - 2011/1/
TI - Ruin Probability for a Markovian Risk Model with Two-type Claims
T2 - International Journal of Mathematical and Computational Sciences
SP - 1859
EP - 1863
VL - 5
SN - 1307-6892
UR - https://publications.waset.org/pdf/8414
PU - World Academy of Science, Engineering and Technology
NX - Open Science Index 60, 2011
N2 - 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 ¸ 0}, i = 1, 2, where {Ni(t), t ¸ 0} is the number of jumps during the interval (0, t] for the Markov jump process {Xi(t), t ¸ 0} . The ruin probability ª(u) of a company facing such a risk model is mainly discussed. An integral equation satisfied by the ruin probability ª(u) is obtained and the bounds for the convergence rate of the ruin probability ª(u) are given by using key-renewal theorem.
ER -