The severity of ruin in a discrete semi-Markov risk model

In this paper we introduce a discrete time semi-Markov risk model. We derive a recursive system for finding the probability of ruin and the distribution of the severity of ruin in a particular case where the annual result may be positive only in years beginning in some given state.

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Bibliographische Detailangaben
Veröffentlicht in:	Stochastic models 2002-03, Vol.18 (1), p.85-107
Hauptverfasser:	Reinhard, J. M., Snoussi, M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Exact sciences and technology Mathematics Probability and statistics Probability of ruin Probability theory and stochastic processes Recursive calculation Sciences and techniques of general use Severity of ruin Special processes (renewal theory, markov renewal processes, semi-markov processes, statistical mechanics type models, applications)
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Beschreibung
Zusammenfassung:	In this paper we introduce a discrete time semi-Markov risk model. We derive a recursive system for finding the probability of ruin and the distribution of the severity of ruin in a particular case where the annual result may be positive only in years beginning in some given state.
ISSN:	1532-6349 1532-4214
DOI:	10.1081/STM-120002776