The maximum surplus before ruin for two classes of perturbed risk model. Issue 1 (2nd January 2018)

• Record Type: Journal Article
• Authors: Jiang, Wuyuan; Ma, Chaoqun
• Is Part Of: Applicable analysis. Volume 97:Issue 1(2018)
• Page Start: 124
• Page End: 133
• Publication Date: 2018-01-02
• Subjects: Two classes of claims -- diffusion process -- maximum surplus before ruin -- phase-type distribution; 62P05 -- 91B30; Mathematical analysis -- Periodicals; 515
• DOI: 10.1080/00036811.2017.1288905
• Languages: English
• ISSNs: 0003-6811

Abstract

Abstract : In this paper, we consider the distribution of the maximum surplus before ruin in a perturbed risk model with two independent classes of risks, in which both of the two inter-claim times have phase-type distributions. We obtain the integro-differential equations for the distribution of the maximum surplus before ruin. Explicit expressions are derived if the two classes claim amount distributions both belong to the rational family.