Conditional ruin probability with a Markov regime switching model

DOI10.1007/978-3-642-22833-9_35MaRDI QIDQ2838672zbMATH OpenOpenAlexFDO

Authors Xuanhui Liu, Li-Ai Cui, Fangguo Ren

Publication date 10 July 2013

Published in Advances in Intelligent and Soft Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-22833-9_35

zbMATH Keywords

insurancejump-diffusion modelMarkov chainmartingaleregime switchingruin probability

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of statistics to economics (62P20)

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Cited in

(16)

• Ruin theory in a financial corporation model with credit risk.
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• On stochastic difference equations in insurance ruin theory
• Ruin probability of the earnings process under jump-diffusion model
• Bounds of ruin probability for regime-switching models using time scale separation
• A model in ruin theory using derivative securities
• Ruin theory under a generalized jump-diffusion model with regime switching
• Robust stability, stabilisation and H-infinity control for premium-reserve models in a Markovian regime switching discrete-time framework
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• Gambler's ruin problem in a Markov-modulated jump-diffusion risk model
• General methods for bounding multidimensional ruin probabilities in regime-switching models
• q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model
• Conditional law of risk processes given that ruin occurs

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