The Expected Penalty Function in a Discrete Markov-Modulated Risk Model
NIE Changwei; CHEN Mi
College of Mathematics and Informatics, Fujian Normal University, Fuzhou, 350117, China; Fujian Provincial Key Laboratory of Mathematical Analysis and its Applications, Fuzhou, 350117, China;
In this paper, the compound binomial risk model is extended by involving the random premium income with Markov property and random dividend strategy. By the method of generating function, the recursive formula and initial values for the expected penalty functions with different initial states are obtained. Finally, some values of the ruin probability that change with the initial value and dividend barrier are shown in a numerical example.
聂昌伟, 陈密. 一类离散马氏调节风险模型的期望惩罚函数[J]. 应用概率统计, 2021, 37(3): 291-302.
NIE Changwei; CHEN Mi. The Expected Penalty Function in a Discrete Markov-Modulated Risk Model. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2021, 37(3): 291-302.
