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  • Photo du rédacteurHélène Dufour

Ruin Problems in a Discrete Risk Model in a Markovian Environment

"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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