Li, Shuanming; Ren, Jiandong - In: Statistics & Probability Letters 83 (2013) 4, pp. 993-998
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.