Ruin probabilities in models with a Markov chain dependence structure
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Publication:2868616
DOI10.1080/03461238.2011.627745zbMath1286.91065OpenAlexW2115640472MaRDI QIDQ2868616
Corina Constantinescu, Véronique Maume-Deschamps, Dominik Kortschak
Publication date: 17 December 2013
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2011.627745
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Related Items (7)
Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk ⋮ Ruin probability for finite Erlang mixture claims via recurrence sequences ⋮ Queues and Risk Processes with Dependencies ⋮ Ruin probabilities in classical risk models with gamma claims ⋮ Ruin probabilities as functions of the roots of a polynomial ⋮ A ruin model with a resampled environment ⋮ A transient Cramér–Lundberg model with applications to credit risk
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