Duration of negative surplus for a two state Markov-modulated risk model
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Publication:551417
DOI10.1016/S0252-9602(10)60114-2zbMath1240.91055MaRDI QIDQ551417
Haili Yuan, Xue-Min Ma, Hu, Yijun
Publication date: 19 July 2011
Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0252-9602(10)60114-2
ruin probability; duration of negative surplus; compound Poisson risk model; deficit; homogeneous Markov process
62P05: Applications of statistics to actuarial sciences and financial mathematics
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