A note on a discrete time MAP risk model
Journal of Computational and Applied Mathematics, 2017, 309: 111-121.
In this paper, we use a discrete time Markov additive process to model the surplus process for an insurance company. Assume that the interclaim times and the claim sizes are both regulated by an underlying Markov chain. We present a recursive formula for the Gerber-Shiu function by two methods. Some numerical examples are also given to show the solution procedure.
MAP; Gerber-Shiu function; Recursive formula; Ruin probability