Mathematica Eterna
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On a compound Markov binomial risk model with time-correlated claims

Zhenhua Bao and He Liu

In this paper we consider an extension to the compound Markov binomial risk model in which two kinds of dependent claims are introduced. For the proposed risk model, the generating functions of two conditional expected discounted penalty functions are obtained. Based on these results, we derive a recursive formula for the conditional expected discounted penalty function when there is no claim at time 0. The relationship between the two conditional expected discounted penalty functions is then investigated