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

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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• Sharp approximations of ruin probabilities in the discrete time models
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• On the severity of ruin in a Markov-modulated risk model

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