On the joint distribution of surplus before and after ruin under a Markovian regime switching model

By A. Ng, Hailiang Yang. 2006

53 citations recorded by the source corpus.

We consider a Markovian regime switching insurance risk model (also called Markov-modulated risk model). The closed form solutions for the joint distribution of surplus before and after ruin when the initial surplus is zero or when the claim size distributions are phase-type distributed are obtained.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c900fba04143eec1556e946e35510af716645954

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Yi Lu
2. Shuanming Li
3. Kristina P. Pavlova

In Economics and Econometrics

1. Shuanming Li
2. Yi Lu

In Management Science and Operations Research

1. Yi Lu
2. Shuanming Li
3. Kristina P. Pavlova
4. Gordon E. Willmot
5. Hélène Cossette
6. É. Marceau

Citations in the corpus

• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model (2008, methodology): “Ng and Yang (2006) give closed form solutions for the joint distribution of the surplus before and after ruin when the initial surplus is zero or when the claim amount distributions are phase-type distributed.”