Operations Research Transactions ›› 2010, Vol. 14 ›› Issue (1): 77-84.
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JIN Shi-Wei
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Abstract: The ruin probability for a Markov risk model is considered in the paper. In the case where the claim distribution is exponential or mixed exponential, the explicit form of the ruin probability is given by solving the differential-integral systems satisfied by the ruin probability.
JIN Shi-Wei. The Ruin Probability for Markov Risk Model with Claim Amounts Being Exponentially Distributed[J]. Operations Research Transactions, 2010, 14(1): 77-84.
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