Markov process functionals in finance and insurance

DOI10.1007/S11766-009-1913-XMaRDI QIDQ846781zbMATH OpenOpenAlexFDO

Authors Liang Li, Xianmin Geng

Publication date 12 February 2010

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-009-1913-x

zbMATH Keywords

risk processprocess with independent incrementsMarkov process functional

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Financial applications of other theories (91G80) Renewal theory (60K05)

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Cites work

• scientific article; zbMATH DE number 193631 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
• A Markov property for set-indexed processes
• Aspects of risk theory
• Best rational approximation to Markov functions
• Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
• Linear dynamics for the state vector of Markov chain functions
• MARKOV REPRESENTATIONS OF STOCHASTIC SYSTEMS
• Probability of ruin with variable premium rate
• Probability of ruin with variable premium rate in a Markovian environment
• Q-Markov random probability measures and their posterior distributions.
• Ruin probabilities and investment under interest force in the presence of regularly varying tails

Cited in

(4)

• Stochastic processes in insurance and finance
• scientific article; zbMATH DE number 5548297 (Why is no real title available?)
• scientific article; zbMATH DE number 3848460 (Why is no real title available?)
• Functional limit theorems for stochastic integrals with applications to risk processes and to value processes of self-financing strategies in a multidimensional market. II

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