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A Note on Ruin in a Two State Markov Model1
Published online by Cambridge University Press: 29 August 2014
Abstract
We are dealing with the ruin probability and the expected ruin time in a two state Markov model where the premium is the reciprocal of an integer and the initial surplus is a multiple of the premium.
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- Copyright © International Actuarial Association 2001
Footnotes
The author is indebted to the editor and an anonymous referee for their helpful comments and some simplified derivations of formulae, especially in section 3.
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