On the ruin problem in a Markov-modulated risk model

DOI10.1007/S11009-007-9044-4zbMath1153.91608OpenAlexW2036790801MaRDI QIDQ931376

Xin Zhang

Publication date: 25 June 2008

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-007-9044-4

zbMATH Keywords

Laplace transformGerber-Shiu functionMarkov additive processMarkov-modulated compound Poisson model

Mathematics Subject Classification ID

Related Items (8)

Survival probabilities in a discrete semi-Markov risk model ⋮ A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model ⋮ On the functional and local limit theorems for Markov modulated compound Poisson processes ⋮ Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps ⋮ The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions ⋮ On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income ⋮ Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment ⋮ Expected discounted dividends in a discrete semi-Markov risk model

Cites Work

• Unnamed Item
• On the probability of ruin in a Markov-modulated risk model
• On the discounted penalty function in a Markov-dependent risk model
• On the time to ruin for Erlang(2) risk processes.
• Hitting probabilities in a Markov additive process with linear movements and upward jumps: applications to risk and queueing processes.
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• Stationary distributions for fluid flow models with or without brownian noise
• Risk theory in a Markovian environment
• A matrix exponential form for hitting probabilities and its application to a Markov-modulated fluid queue with downward jumps
• On the Time Value of Ruin
• A Recurring Theorem on Determinants
• Single-server queue with Markov-dependent inter-arrival and service times

This page was built for publication: On the ruin problem in a Markov-modulated risk model