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Article: On the joint distribution of surplus before and after ruin under a Markovian regime switching model

TitleOn the joint distribution of surplus before and after ruin under a Markovian regime switching model
Authors
Ng, ACYYang, H
KeywordsCoupled system of integro-differential equations
Expected discounted penalty function
Markovian regime switching model
Phase-type distribution
Ruin theory
Issue Date2006
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/spa
Citation
Stochastic Processes and their Applications, 2006, v. 116 n. 2, p. 244-266 How to Cite?
DOI: http://dx.doi.org/10.1016/j.spa.2005.09.008
AbstractWe consider a Markovian regime switching insurance risk model (also called Markov-modulated risk model). The closed form solutions for the joint distribution of surplus before and after ruin when the initial surplus is zero or when the claim size distributions are phase-type distributed are obtained. © 2005 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/54354
ISSN
0304-4149
2021 Impact Factor: 1.430
2020 SCImago Journal Rankings: 1.478
ISI Accession Number ID
WOS:000235100400006
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorNg, ACYen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2009-04-03T07:44:19Z-
dc.date.available2009-04-03T07:44:19Z-
dc.date.issued2006en_HK
dc.identifier.citationStochastic Processes and their Applications, 2006, v. 116 n. 2, p. 244-266en_HK
dc.identifier.issn0304-4149en_HK
dc.identifier.urihttp://hdl.handle.net/10722/54354-
dc.description.abstractWe consider a Markovian regime switching insurance risk model (also called Markov-modulated risk model). The closed form solutions for the joint distribution of surplus before and after ruin when the initial surplus is zero or when the claim size distributions are phase-type distributed are obtained. © 2005 Elsevier B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/spaen_HK
dc.relation.ispartofStochastic Processes and their Applicationsen_HK
dc.rightsStochastic Processes and their Applications. Copyright © Elsevier BV.en_HK
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectCoupled system of integro-differential equationsen_HK
dc.subjectExpected discounted penalty functionen_HK
dc.subjectMarkovian regime switching modelen_HK
dc.subjectPhase-type distributionen_HK
dc.subjectRuin theoryen_HK
dc.titleOn the joint distribution of surplus before and after ruin under a Markovian regime switching modelen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0304-4149&volume=116&issue=2&spage=244&epage=266&date=2006&atitle=On+the+joint+distribution+of+surplus+before+and+after+ruin+under+a+Markovian+regime+switching+modelen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturepostprinten_HK
dc.identifier.doi10.1016/j.spa.2005.09.008en_HK
dc.identifier.scopuseid_2-s2.0-30344475227en_HK
dc.identifier.hkuros118249-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-30344475227&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume116en_HK
dc.identifier.issue2en_HK
dc.identifier.spage244en_HK
dc.identifier.epage266en_HK
dc.identifier.isiWOS:000235100400006-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridNg, ACY=25930496400en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.issnl0304-4149-

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