Deficit distributions at ruin in a regime-switching Sparre Andersen model

DOI10.1515/JAA-2018-0010zbMath1398.91327OpenAlexW2804028955WikidataQ129771771 ScholiaQ129771771MaRDI QIDQ1637419

Marcin Rudź, Lestaw Gajek

Publication date: 8 June 2018

Published in: Journal of Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jaa-2018-0010

zbMATH Keywords

NBUruin probabilitiesdeficit distributions at ruinregime-switching Sparre Andersen modelrisk operators

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 (2)

General methods for bounding multidimensional ruin probabilities in regime-switching models ⋮ Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model

Cites Work

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• A generalization of Gerber's inequality for ruin probabilities in risk-switching models
• Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model
• On the deficit distribution when ruin occurs -- discrete time model
• Finite mixture and Markov switching models.
• Some results about the expected ruin time in Markov-modulated risk models
• Sharp approximations of ruin probabilities in the discrete time models
• Risk theory in a Markovian environment
• On the severity of ruin in a Markov-modulated risk model

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