Abstract
In this paper, we consider the compound Poisson risk model influenced by an external Markovian environment process, i.e. Markov-modulated compound Poisson model. The explicit Laplace transforms of Gerber–Shiu functions are obtained, while the explicit Gerber–Shiu functions are derived for the K n -family claim size distributions in the two-states case.
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Zhang, X. On the Ruin Problem in a Markov-Modulated Risk Model. Methodol Comput Appl Probab 10, 225–238 (2008). https://doi.org/10.1007/s11009-007-9044-4
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DOI: https://doi.org/10.1007/s11009-007-9044-4