Title :
An note on absolute ruin probability in a Markov risk model
Author :
Liu, Juan ; Xu, Jiancheng
Author_Institution :
Coll. of Math. & Stat., Hubei Normal Univ., Huangshi, China
Abstract :
This paper considers a Markov risk model in which the claim rates and sizes fluctuate according to the state of the risk business. When the surplus process is below zero, the insurer could borrow money at a debit interest rate to pay claims. Meanwhile, the insurer will repay debt from her premium income. A integro-differential equation satisfied by absolute ruin probability is derived. Finally, an example is presented in a two state model.
Keywords :
Markov processes; economic indicators; integro-differential equations; risk management; Markov risk model; absolute ruin probability; claim rate; claim size; debit interest rate; integro-differential equation; risk business; Economics; Equations; Insurance; Markov processes; Mathematical model; Probability; Zinc; Markov risk model; absolute ruin probability; debit interest;
Conference_Titel :
Electric Information and Control Engineering (ICEICE), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-8036-4
DOI :
10.1109/ICEICE.2011.5777660
