Acta mathematica scientia, Series B >
RUIN PROBABILITY IN A SEMI-MARKOV RISK MODEL WITH CONSTANT INTEREST FORCE AND HEAVY-TAILED CLAIMS
Received date: 2012-05-29
Revised date: 2012-09-14
Online published: 2013-07-20
Supported by
This research was supported by the National Natural Science Foundation of China (11101451) and Ph.D. Programs Foundation of Ministry of Education of China (20110191110033).
In the present paper, we consider a kind of semi-Markov risk model (SMRM) with constant interest force and heavy-tailed claims, in which the claim rates and sizes are conditionally independent, both fluctuating according to the state of the risk business. First, we derive a matrix integro-differential equation satisfied by the survival probabilities. Second, we analyze the asymptotic behaviors of ruin probabilities in a two-state SMRM with special claim amounts. It is shown that the asymptotic behaviors of ruin probabilities depend only on the state 2 with heavy-tailed claim amounts, not on the state 1 with exponential claim sizes.
YANG Hu , XUE Kai . RUIN PROBABILITY IN A SEMI-MARKOV RISK MODEL WITH CONSTANT INTEREST FORCE AND HEAVY-TAILED CLAIMS[J]. Acta mathematica scientia, Series B, 2013 , 33(4) : 998 -1006 . DOI: 10.1016/S0252-9602(13)60058-2
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