On the absolute ruin in a MAP risk model with debit interest
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Publication:2996570
DOI10.1239/aap/1300198513zbMath1229.91171MaRDI QIDQ2996570
Hailiang Yang, Zhimin Zhang, Hu Yang
Publication date: 3 May 2011
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1300198513
heavy-tailed distribution; Markov additive processes; matrix renewal equation; discounted penalty function; absolute ruin; asymtotics
91B70: Stochastic models in economics
60J28: Applications of continuous-time Markov processes on discrete state spaces
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