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Article: On the absolute ruin in a MAP risk model with debit interest
Title | On the absolute ruin in a MAP risk model with debit interest |
---|---|
Authors | |
Keywords | Absolute ruin Asymptotic Discounted penalty function Heavy-tailed distribution MAP Matrix renewal equation |
Issue Date | 2011 |
Publisher | Applied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html |
Citation | Advances In Applied Probability, 2011, v. 43 n. 1, p. 77-96 How to Cite? |
Abstract | In this paper we consider a risk model where claims arrive according to a Markovian arrival process (MAP). When the surplus becomes negative or the insurer is in deficit, the insurer could borrow money at a constant debit interest rate to repay the claims. We derive the integro-differential equations satisfied by the discounted penalty functions and discuss the solutions. A matrix renewal equation is obtained for the discounted penalty function provided that the initial surplus is nonnegative. Based on this matrix renewal equation, we present some asymptotic formulae for the discounted penalty functions when the claim size distributions are heavy tailed. © Applied Probability Trust 2011. |
Persistent Identifier | http://hdl.handle.net/10722/135501 |
ISSN | 2023 Impact Factor: 0.9 2023 SCImago Journal Rankings: 0.640 |
References |
DC Field | Value | Language |
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dc.contributor.author | Zhang, Z | en_HK |
dc.contributor.author | Yang, H | en_HK |
dc.contributor.author | Yang, H | en_HK |
dc.date.accessioned | 2011-07-27T01:36:08Z | - |
dc.date.available | 2011-07-27T01:36:08Z | - |
dc.date.issued | 2011 | en_HK |
dc.identifier.citation | Advances In Applied Probability, 2011, v. 43 n. 1, p. 77-96 | en_HK |
dc.identifier.issn | 0001-8678 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/135501 | - |
dc.description.abstract | In this paper we consider a risk model where claims arrive according to a Markovian arrival process (MAP). When the surplus becomes negative or the insurer is in deficit, the insurer could borrow money at a constant debit interest rate to repay the claims. We derive the integro-differential equations satisfied by the discounted penalty functions and discuss the solutions. A matrix renewal equation is obtained for the discounted penalty function provided that the initial surplus is nonnegative. Based on this matrix renewal equation, we present some asymptotic formulae for the discounted penalty functions when the claim size distributions are heavy tailed. © Applied Probability Trust 2011. | en_HK |
dc.language | eng | en_US |
dc.publisher | Applied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html | en_HK |
dc.relation.ispartof | Advances in Applied Probability | en_HK |
dc.rights | Advances in Applied Probability. Copyright © Applied Probability Trust. | en_US |
dc.subject | Absolute ruin | en_HK |
dc.subject | Asymptotic | en_HK |
dc.subject | Discounted penalty function | en_HK |
dc.subject | Heavy-tailed distribution | en_HK |
dc.subject | MAP | en_HK |
dc.subject | Matrix renewal equation | en_HK |
dc.title | On the absolute ruin in a MAP risk model with debit interest | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_HK |
dc.identifier.authority | Yang, H=rp00826 | en_HK |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1239/aap/1300198513 | en_HK |
dc.identifier.scopus | eid_2-s2.0-79953135193 | en_HK |
dc.identifier.hkuros | 187181 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-79953135193&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 43 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 77 | en_HK |
dc.identifier.epage | 96 | en_HK |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.scopusauthorid | Zhang, Z=35219373500 | en_HK |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_HK |
dc.identifier.scopusauthorid | Yang, H=36078235900 | en_HK |
dc.identifier.issnl | 0001-8678 | - |