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On the Distribution of the Surplus Prior to Ruin in a Discrete Semi-Markov Risk Model

Author

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  • J.M. Reinhard,
  • Snoussi, M.

Abstract

In this paper we extend the work of Reinhard and Snoussi (2000) by developing a recursive system for finding the distribution of the surplus prior to ruin in a discrete semi-Markov risk model.

Suggested Citation

  • J.M. Reinhard, & Snoussi, M., 2001. "On the Distribution of the Surplus Prior to Ruin in a Discrete Semi-Markov Risk Model," ASTIN Bulletin, Cambridge University Press, vol. 31(2), pages 255-273, November.
    • Handle: RePEc:cup:astinb:v:31:y:2001:i:02:p:255-273_00
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    Cited by:

    1. Palmowski, Zbigniew & Ramsden, Lewis & Papaioannou, Apostolos D., 2024. "Gerber-Shiu theory for discrete risk processes in a regime switching environment," Applied Mathematics and Computation, Elsevier, vol. 467(C).
    2. XIAO, Lin, 2022. "Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm," Applied Mathematics and Computation, Elsevier, vol. 424(C).
    3. Chen, Mi & Yuen, Kam Chuen & Guo, Junyi, 2014. "Survival probabilities in a discrete semi-Markov risk model," Applied Mathematics and Computation, Elsevier, vol. 232(C), pages 205-215.
    4. Lu, Yi & Li, Shuanming, 2005. "On the probability of ruin in a Markov-modulated risk model," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 522-532, December.

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