Deficit distributions at ruin in a regime-switching Sparre Andersen model
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Publication:1637419
DOI10.1515/jaa-2018-0010zbMath1398.91327OpenAlexW2804028955WikidataQ129771771 ScholiaQ129771771MaRDI QIDQ1637419
Publication date: 8 June 2018
Published in: Journal of Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jaa-2018-0010
NBUruin probabilitiesdeficit distributions at ruinregime-switching Sparre Andersen modelrisk operators
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Related Items (2)
General methods for bounding multidimensional ruin probabilities in regime-switching models ⋮ Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
Cites Work
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- On the probability of ruin in a Markov-modulated risk model
- Moments of claims in a Markovian environment
- Banach contraction principle and ruin probabilities in regime-switching models
- A generalization of Gerber's inequality for ruin probabilities in risk-switching models
- Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model
- On the deficit distribution when ruin occurs -- discrete time model
- Finite mixture and Markov switching models.
- Some results about the expected ruin time in Markov-modulated risk models
- Sharp approximations of ruin probabilities in the discrete time models
- Risk theory in a Markovian environment
- On the severity of ruin in a Markov-modulated risk model
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