DocumentCode
3281267
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
fYear
2011
fDate
15-17 April 2011
Firstpage
160
Lastpage
162
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Electric Information and Control Engineering (ICEICE), 2011 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-8036-4
Type
conf
DOI
10.1109/ICEICE.2011.5777660
Filename
5777660
Link To Document