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On the Expected Discounted Penalty Function for a Markov Regime-Switching Insurance Risk Model with Stochastic Premium Income
Author
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-03-07
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Yu, Wenguang. 2013. On the Expected Discounted Penalty Function for a Markov Regime-Switching Insurance Risk Model with Stochastic Premium Income. Discrete Dynamics in Nature and Society،Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-463235
Modern Language Association (MLA)
Yu, Wenguang. On the Expected Discounted Penalty Function for a Markov Regime-Switching Insurance Risk Model with Stochastic Premium Income. Discrete Dynamics in Nature and Society No. 2013 (2013), pp.1-9.
https://search.emarefa.net/detail/BIM-463235
American Medical Association (AMA)
Yu, Wenguang. On the Expected Discounted Penalty Function for a Markov Regime-Switching Insurance Risk Model with Stochastic Premium Income. Discrete Dynamics in Nature and Society. 2013. Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-463235
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-463235