SOME RESULTS ABOUT THE EXPECTED RUIN TIME IN MARKOV-MODULATED RISK MODELS

Authors
BAUERLE N
Citation
N. Bauerle, SOME RESULTS ABOUT THE EXPECTED RUIN TIME IN MARKOV-MODULATED RISK MODELS, Insurance. Mathematics & economics, 18(2), 1996, pp. 119-127
Citations number
13
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences","Mathematics, Miscellaneous","Statistic & Probability
Journal title
Insurance. Mathematics & economics → ACNP
ISSN journal
01676687
Volume
18
Issue
2
Year of publication
1996
Pages
119 - 127
Database
ISI
SICI code
0167-6687(1996)18:2<119:SRATER>2.0.ZU;2-5
Abstract
In this paper we investigate the expected ruin time of Markov-modulate d risk models. It turns out that the expected ruin time xi(u), dependi ng on the initial risk reserve u is an element of R(+), is asymptotica lly linear. In the two-state model we are able to derive exact formula s. A very interesting result is the monotonicity property of xi(u). We show that the more slowly the environment changes, the greater is the expected min time.