Probability of ruin with variable premium rate in a Markovian environment
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Publication:5956051
DOI10.1016/S0167-6687(01)00090-7zbMath0999.91048OpenAlexW2080460894MaRDI QIDQ5956051
Publication date: 19 February 2002
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(01)00090-7
Laplace transformsintegral equationruin probabilityCox processclaim number processexponential claimsrisk reserve modeltwo-state intensity process
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Related Items (15)
Markov process functionals in finance and insurance ⋮ The hitting time for a Cox risk process ⋮ Risk models with premiums adjusted to claims number ⋮ Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims ⋮ Unnamed Item ⋮ Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force ⋮ The Time to Ruin in Some Additive Risk Models with Random Premium Rates ⋮ Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation ⋮ The Probability of Ruin in a Kind of Cox Risk Model with Variable Premium Rate ⋮ A large deviation principle for the risk process with varying premium ⋮ Ruin probability with variable premium rate and disturbed by diffusion in a Markovian environment ⋮ Ruin probabilities with random rates of interest ⋮ Modeling the effect of spending on cyber security by using surplus process ⋮ The method of successive approximations for calculating the probability of bankruptcy of a risk process in a Markovian environment ⋮ On the probability of ruin in a Markov-modulated risk model
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