Ruin problems in a discrete risk model in a Markovian environment

Hyun Joo Yoo, Jerim Kim

Research output: Contribution to journalArticlepeer-review

Abstract

In a 2019 paper, Yang, Zhang and Lan studied a risk model in which claim occurrence and amount are both governed by an underlying Markovian environment process. We find that the derivations of Yang et al are erroneous; subsequently, we analyzed the model correctly using the matrix analytic method.

Original languageEnglish
JournalJournal of Risk
Volume24
Issue number2
DOIs
StatePublished - Dec 2021

Keywords

  • Markovian environment
  • insurance model
  • matrix analytic method
  • ruin probability
  • surplus process

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