Dongdong Zhang and Deran Zhang
Ruin Probability for a Markovian Risk Model with Twotype Claims
1860 - 1863
2011
5
12
International Journal of Mathematical and Computational Sciences
https://publications.waset.org/pdf/8414
https://publications.waset.org/vol/60
World Academy of Science, Engineering and Technology
In this paper, a Markovian risk model with twotype 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 keyrenewal theorem.
Open Science Index 60, 2011