Asymptotic results for a Markov-modulated risk process with stochastic investment

DOI10.1016/J.CAM.2016.09.010zbMath1410.91285OpenAlexW2520572879MaRDI QIDQ344244

Apostolos D. Papaioannou, Lewis Ramsden

Publication date: 22 November 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.09.010

zbMATH Keywords

regular variationinvestmentruin probabilitiesFrobenius method for systemsintegro-differential equation systemMarkov-modulated risk process

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (6)

Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory ⋮ Ruin probabilities in classical risk models with gamma claims ⋮ Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Risk- and value-based management for non-life insurers under solvency constraints ⋮ Data driven confidence intervals for diffusion process using double smoothing empirical likelihood

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