The maximum severity of ruin in a perturbed risk process with Markovian arrivals

DOI10.1016/j.spl.2012.12.019zbMath1264.91073OpenAlexW1967322717MaRDI QIDQ1950740

Jiandong Ren, Shuanming Li

Publication date: 13 May 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.12.019

zbMATH Keywords

first passage timesmaximum severity of ruintime of recoveryMarkovian arrival processesperturbed risk processes

Mathematics Subject Classification ID

Related Items (6)

Analysis of some ruin-related quantities in a Markov-modulated risk model ⋮ Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes ⋮ Modeling and analysis for a repairable system with multi-state components under K-mixed redundancy strategy ⋮ Some ruin problems for the MAP risk model ⋮ Some state-specific exit probabilities in a Markov-modulated risk model ⋮ On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income

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