The severity of ruin in a discrete semi-Markov risk model

Abstract

In this paper we introduce a discrete time semi-Markov risk model. We derive a recursive system for finding the probability of ruin and the distribution of the severity of ruin in a particular case where the annual result may be positive only in years beginning in some given state.

Keywords:

• Probability of ruin
• Severity of ruin
• Recursive calculation

Acknowledgments