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Ruin problems in a discrete risk model in a Markovian environment

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  • Hyun Joo Yoo
  • Jerim Kim

Abstract

In a 2019 paper, Yang, Zhang and Lan studied a risk model in which claim occurrence and amount are both governed by an underlying Markovian environment process. We find that the derivations of Yang et al are erroneous; subsequently, we analyzed the model correctly using the matrix analytic method.

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Handle: RePEc:rsk:journ4:7909346
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File URL: https://www.risk.net/system/files/digital_asset/2022-01/Ruin_problems_in_a_discrete_risk_model_in_a_Markovian_environment_final.pdf
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