Analysis of some ruin-related quantities in a Markov-modulated risk model

DOI10.1080/15326349.2015.1121399zbMath1344.60075MaRDI QIDQ3186003

Jingchao Li, David C. M. Dickson, Shuanming Li

Publication date: 8 August 2016

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/120635

zbMATH Keywords

Laplace transform; probability generating function; Markov-modulated risk model

Mathematics Subject Classification ID

44A10: Laplace transform

60K37: Processes in random environments

60J27: Continuous-time Markov processes on discrete state spaces

60J28: Applications of continuous-time Markov processes on discrete state spaces

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