Journal of Risk
ISSN:
1465-1211 (print)
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
Need to know
- We considered a risk model in which claim occurrence and amount are both governed by an underlying Markovian environment process.
- We found that the derivations of Yang et al (2009) are erroneous.
- We analyzed the model correctly using the matrix analytic method.
Abstract
In a 2019 paper, Yang, Zhang and Lan studied a risk model in which claim occurrence and amount are both governed by an underlying Markovian environment process. We find that the derivations of Yang et al are erroneous; subsequently, we analyzed the model correctly using the matrix analytic method.
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