Lundberg-type bounds for the joint distribution of surplus immediately before and at ruin under a Markov-modulated risk model

被引：4
|
作者：
Ng, Andrew C. Y. [1 ]
Yang, Hailiang [1 ]
机构：
[1] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
来源：
ASTIN BULLETIN | 2005年 / 35卷 / 02期
关键词：
Markov-modulated risk model; joint distribution of surplus immediately before and at ruin; change of probability measure; exponential martingale; Lundberg-type bounds;
D O I：
10.2143/AST.35.2.2003457
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we consider a Markov-modulated risk model (also called Markovian regime switching insurance risk model). Follow Asmussen (2000, 2003), by using the theory of Markov additive process, an exponential martingale is constructed and Lundberg-type upper bounds for the joint distribution of surplus immediately before and at ruin are obtained. As a natural corollary, bounds for the distribution of the deficit at ruin are obtained. We also present some numerical results to illustrate the tightness of the bound obtained in this paper.
引用
收藏
页码：351 / 361
页数：11
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