NIE Changwei, CHEN Mi. The Expected Penalty Function in a Discrete Markov-Modulated Risk Model[J]. Chinese Journal of Applied Probability and Statistics, 2021, 37(3): 291-302. DOI: 10.3969/j.issn.1001-4268.2021.03.005
Citation: NIE Changwei, CHEN Mi. The Expected Penalty Function in a Discrete Markov-Modulated Risk Model[J]. Chinese Journal of Applied Probability and Statistics, 2021, 37(3): 291-302. DOI: 10.3969/j.issn.1001-4268.2021.03.005

The Expected Penalty Function in a Discrete Markov-Modulated Risk Model

  • 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.
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