Journal of Risk

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Ruin problems in a discrete risk model in a Markovian environment

Hyun Joo Yoo and Jerim Kim

  • 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.

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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