Asymptotic results for a Markov-modulated risk process with stochastic investment (Q344244): Difference between revisions

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+B30
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+J20
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+K10
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@@ Property / zbMATH DE Number @@
+6655189
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@@ Property / zbMATH Keywords @@
+Markov-modulated risk process
@@ Property / zbMATH Keywords: Markov-modulated risk process / rank @@
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@@ Property / zbMATH Keywords @@
+investment
@@ Property / zbMATH Keywords: investment / rank @@
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+integro-differential equation system
@@ Property / zbMATH Keywords: integro-differential equation system / rank @@
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+ruin probabilities
@@ Property / zbMATH Keywords: ruin probabilities / rank @@
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+regular variation
@@ Property / zbMATH Keywords: regular variation / rank @@
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+Frobenius method for systems
@@ Property / zbMATH Keywords: Frobenius method for systems / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2016.09.010
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+W2520572879
@@ Property / OpenAlex ID: W2520572879 / rank @@
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@@ Property / cites work @@
+Risk theory in a stochastic economic environment
@@ Property / cites work: Risk theory in a stochastic economic environment / rank @@
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@@ Property / cites work @@
+Ruin theory with stochastic return on investments
@@ Property / cites work: Ruin theory with stochastic return on investments / rank @@
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@@ Property / cites work @@
+Ruin probabilities and penalty functions with stochastic rates of interest
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@@ Property / cites work @@
+On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion
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@@ Property / cites work @@
+Sharp conditions for certain ruin in a risk process with stochastic return on investments
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@@ Property / cites work @@
+Ruin models with investment income
@@ Property / cites work: Ruin models with investment income / rank @@
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@@ Property / cites work @@
+Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
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@@ Property / cites work @@
+Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
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@@ Property / cites work @@
+An extension of Paulsen-Gjessing's risk model with stochastic return on investments
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+On Cramér-like asymptotics for risk processes with stochastic return on investments
+Normal rank
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+Ruin probabilities in the presence of regularly varying tails and optimal investment.
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+Ruin probability of the renewal model with risky investment and large claims
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+Ruin probabilities under general investments and heavy-tailed claims
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+Asymptotic results for renewal risk models with risky investments
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+The heavy traffic limit of a class of Markovian queueing models
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+Large claims approximations for risk processes in a Markovian environment
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+On the Tail of the Waiting Time in a Markov-Modulated M/G/1 Queue
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+Risk theory in a Markovian environment
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+The Markov-Modulated Risk Model with Investment
@@ Property / cites work: The Markov-Modulated Risk Model with Investment / rank @@
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+A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
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+The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
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+Asymptotics for M/G/1 low-priority waiting-time tail probabilities
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+On the Time Value of Ruin
@@ Property / cites work: On the Time Value of Ruin / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:344244