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Persistent link: https://www.econbiz.de/10003924219
In this paper, we present a result on the distribution of the maximum severity of ruin in a perturbed risk process with Markovian arrivals. We show that the distribution of the maximum severity of ruin is closely related to the distributions of one-sided and two-sided passage times.
Persistent link: https://www.econbiz.de/10010662338