On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income
type: Item
instance of: scholarly article
title: On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income
zbMATH Open document ID: 1264.91075
DOI: 10.1155/2013/320146
author: Wenguang Yu
published in: Discrete Dynamics in Nature and Society
publication date: 2013-06-13T00:00:00Z
review text: Summary: We consider a Markovian regime-switching risk model (also called the Markov-modulated risk model) with stochastic premium income, in which the premium income and the claim occurrence are driven by the Markovian regime-switching process. The purpose of this paper is to study the integral equations satisfied by the expected discounted penalty function. In particular, the discount interest force process is also regulated by the Markovian regime-switching process. Applications of the integral equations are given to be the Laplace transform of the time of ruin, the deficit at ruin, and the surplus immediately before ruin occurs. For exponential distribution, the explicit expressions for these quantities are obtained. Finally, a numerical example is also given to illustrate the effect of the related parameters on these quantities.
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6175069
Wikidata QID: Q58921505
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2013/320146
OpenAlex ID: W2086001711
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description: scientific article; zbMATH DE number 6175069