Ruin probabilities of a dual Markov-modulated risk model (Q5495071)
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scientific article; zbMATH DE number 6323207
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| English | Ruin probabilities of a dual Markov-modulated risk model |
scientific article; zbMATH DE number 6323207 |
Statements
Ruin Probabilities of a Dual Markov-Modulated Risk Model (English)
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30 July 2014
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dual model
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finite time ruin probability
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lower bound
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Lundberg inequality
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Markov-modulated model
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martingale approach
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stopping time
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the time to ruin
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ultimate ruin probability
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upper bound
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0.8385645151138306
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0.8340710401535034
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0.8286435008049011
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0.823938250541687
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