Some State-Specific Exit Probabilities in a Markov-Modulated Risk Model

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.