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Document Details : Title: Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated Risk Model Author(s): NG, A.C.Y. , YANG, H. Journal: ASTIN Bulletin Volume: 35 Issue: 2 Date: November 2005 Pages: 351-361 DOI: 10.2143/AST.35.2.2003457 Abstract : In this paper,we consider a Markov-modulated risk model (also called Markovian regime switching insurance risk model). Follow Asmussen (2000,2003), by using the theory of Markov additive process, an exponential martingale is constructed and Lundberg-type upper bounds for the joint distribution of surplus immediately before and at ruin are obtained. As a natural corollary, bounds for the distribution of the deficit at ruin are obtained. We also present some numerical results to illustrate the tightness of the bound obtained in this paper. |
