Some State-Specific Exit Probabilities in a Markov-Modulated Risk Model
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-10-20
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
In this paper, we study some state-specific one-sided exit probabilities in a Markov-modulated risk process including the probability that ruin occurs without or with the surplus visiting certain states; the probability that ruin occurs without or with a claim occurring in certain states; the probability that the surplus attains a target level without or with visiting certain states; and the probability that the surplus attains a target level without or with a claim occurring in certain states.
We also investigate the corresponding two-sided first exit probabilities without (or with) the surplus visiting certain states or without (or with) claims occurring in certain states.
All these probabilities can be expressed elegantly in terms of some modified matrix scale functions which are easily computable.
American Psychological Association (APA)
Li, Jingchao& Li, Shuanming. 2020. Some State-Specific Exit Probabilities in a Markov-Modulated Risk Model. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1196315
Modern Language Association (MLA)
Li, Jingchao& Li, Shuanming. Some State-Specific Exit Probabilities in a Markov-Modulated Risk Model. Mathematical Problems in Engineering No. 2020 (2020), pp.1-10.
https://search.emarefa.net/detail/BIM-1196315
American Medical Association (AMA)
Li, Jingchao& Li, Shuanming. Some State-Specific Exit Probabilities in a Markov-Modulated Risk Model. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1196315
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1196315