A Note on Ruin in a Two State Markov Model

DOI10.2143/AST.31.2.1010MaRDI QIDQ4661646zbMATH OpenOpenAlexFDO

Authors Christian Wagner

Publication date 30 March 2005

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.31.2.1010

zbMATH Keywords

Markov chainruin probabilityruin time

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cited in

(5)

• The ruin problem for finite Markov chains
• Time in the red in a two state Markov model.
• Discrete-time risk models with surplus-dependent premium corrections
• Some results on the compound Markov binomial model
• Measuring the impact of a bonus-malus system in finite and continuous time ruin probabilities for large portfolios in motor insurance

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