Ruin problems in a discrete risk model in a Markovian environment

Hyun Joo Yoo; Jerim Kim

doi:10.21314/JOR.2021.019

Ruin problems in a discrete risk model in a Markovian environment

Hyun Joo Yoo, Jerim Kim

Department of Mathematics

Korea University

Research output: Contribution to journal › Article › peer-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 language	English
Journal	Journal of Risk
Volume	24
Issue number	2
DOIs	https://doi.org/10.21314/JOR.2021.019
State	Published - Dec 2021

Keywords

Markovian environment
insurance model
matrix analytic method
ruin probability
surplus process

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10.21314/JOR.2021.019

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title = "Ruin problems in a discrete risk model in a Markovian environment",

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.",

keywords = "Markovian environment, insurance model, matrix analytic method, ruin probability, surplus process",

author = "Yoo, \{Hyun Joo\} and Jerim Kim",

note = "Publisher Copyright: {\textcopyright} 2021 Infopro Digital Risk (IP) Limited.",

year = "2021",

month = dec,

doi = "10.21314/JOR.2021.019",

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AU - Kim, Jerim

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AB - 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.

KW - Markovian environment

KW - insurance model

KW - matrix analytic method

KW - ruin probability

KW - surplus process

UR - https://www.scopus.com/pages/publications/85127347430

U2 - 10.21314/JOR.2021.019

DO - 10.21314/JOR.2021.019

M3 - Article

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SN - 1465-1211

VL - 24

JO - Journal of Risk

JF - Journal of Risk

IS - 2

ER -

Ruin problems in a discrete risk model in a Markovian environment

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Keywords

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