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A Note on Ruin in a Two State Markov Model1

Published online by Cambridge University Press:  29 August 2014

Christian Wagner
Christian Wagner*
Affiliation:
Wagner & Kunz Aktuare AG, Steinenbachgässlein 27, CH-4051 Basel, E-mail:[email protected]
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Abstract

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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.

Keywords

Markov chainRuin timeRuin probability
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 31 , Issue 2 , November 2001 , pp. 349 - 358
Copyright
Copyright © International Actuarial Association 2001

Footnotes

1

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.

References

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