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Document Details : Title: Probabilités de ruine pour une classe de modèle de risque semi-markoviens Author(s): JANSSEN, Jacques , REINHARD, Jean-Marie Journal: ASTIN Bulletin Volume: 15 Issue: 2 Date: November 1985 Pages: 123-133 DOI: 10.2143/AST.15.2.2015023 Abstract : We consider particular semi-Markov risk models M/SM and M(scored)/SM for which the interarrival distributions are exponential with parameters depending of the risk type. We obtain theoretical expressions for the ruin probabilities on an infinite horizon. In the special case of exponential distributions for the claim amounts, ruin probabilities are to both models solutions of linear differential systems. These systems are explicitly solved when there are only two risk types. |
