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A Note on Ruin in a Two State Markov Model1

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  • Wagner, Christian

Abstract

We are dealing with the ruin probability and the expected ruin time in a two state Markov model where the premium is the reciprocal of an integer and the initial surplus is a multiple of the premium.

Suggested Citation

  • Wagner, Christian, 2001. "A Note on Ruin in a Two State Markov Model1," ASTIN Bulletin, Cambridge University Press, vol. 31(2), pages 349-358, November.
    • Handle: RePEc:cup:astinb:v:31:y:2001:i:02:p:349-358_00
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    Cited by:

    1. Wagner, Christian, 2002. "Time in the red in a two state Markov model," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 365-372, December.
    2. Osatakul, Dhiti & Li, Shuanming & Wu, Xueyuan, 2023. "Discrete-time risk models with surplus-dependent premium corrections," Applied Mathematics and Computation, Elsevier, vol. 437(C).
    3. Dhiti Osatakul & Shuanming Li & Xueyuan Wu, 2024. "Bonus-malus Systems vs Delays in Claims Reporting and Settlement: Analysis of Ruin Probabilities," Papers 2408.00003, arXiv.org.

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