The time to ruin for a class of Markov additive risk process with two-sided jumps
نویسندگان
چکیده
منابع مشابه
The time to ruin for a class of Markov additive risk processes
Risk processes are considered, which locally behave as a Brownian motion with some drift and variance, both depending on an underlying Markov chain that is used also to generate the claims arrival process. Thus claims arrive according to a renewal process with waiting times of phase-type. The claims are assumed to form an iid sequence, independent of everything else, and with a distribution wit...
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در این پایان نامه نشان داده ایم که چگونه می توان مدل ریسک بیمه ای اسپیرر اندرسون را به کمک زنجیره های مارکوف تعریف کرد. سپس به کمک روش های آنالیز ماتریسی احتمال برشکستگی ، میزان مازاد در هنگام برشکستگی و میزان کسری بودجه در زمان وقوع برشکستگی را محاسبه کرده ایم. هدف ما در این پایان نامه بسیار محاسباتی و کاربردی تر از روش های است که در گذشته برای محاسبه این احتمال ارائه شده است. در ابتدا ما نشا...
15 صفحه اولNumerical Method for a Markov-Modulated Risk Model with Two-Sided Jumps
and Applied Analysis 3 when ω 1 and δ 0, 1.4 reduces to the probability of ruin ψi u P T < ∞ | J 0 i,U 0 u , u ≥ 0. 1.6 The purpose of this paper is to present some numerical results on the GerberShiu function for the Markov-modulated diffusion risk model with arbitrary upward and downward jumps. In Section 2 we derive a system of integrodifferential equations and approximate solutions for φi u...
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In this paper, we consider a perturbed compound Poisson risk model with two-sided jumps. The downward jumps represent the claims following an arbitrary distribution, while the upward jumps are also allowed to represent the random gains. Assuming that the density function of the upward jumps has a rational Laplace transform, the Laplace transforms and defective renewal equations for the discount...
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Through Laplace transforms, we study the extremes of a continuoustime Markov-additive process with one-sided jumps and a finite-state background Markovian state-space, jointly with the epoch at which the extreme is ‘attained’. For this, we investigate discrete-time Markov-additive processes and use an embedding to relate these to the continuous-time setting. The resulting Laplace transforms are...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2005
ISSN: 0001-8678,1475-6064
DOI: 10.1239/aap/1134587749