2005•Journal of Jishou UniversityRequires access

Ruin Probability in a Double-Type-Insurance Risk Model with Markov-Modulated Premium Rate

Yan Chen

Abstract

A double-type-insurance risk model with Markov-modulated premium rate is introduced.Under the condition of double-type-insurance,a integral equation for the conditional ruin probability is obtained.Furthermore,a recursive inequality for the ruin probability with the stationary initial distribution and the upper bound for the ruin probability with no initial reserve are given.

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Key concepts: Ruin theory, Mathematics, Markov chain, Risk model, First-hitting-time model, Type (biology), Conditional expectation, Actuarial science