**Commenced**in January 2007

**Frequency:**Monthly

**Edition:**International

**Paper Count:**30750

##### Ruin Probability for a Markovian Risk Model with Two-type Claims

**Authors:**
Dongdong Zhang,
Deran Zhang

**Abstract:**

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.

**Keywords:**
Integral Equation,
risk model,
ruin probability,
Markov jump process

**Digital Object Identifier (DOI):**
doi.org/10.5281/zenodo.1070847

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