A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model

DOI10.1007/s11009-021-09897-zzbMath1491.60134OpenAlexW3213074846MaRDI QIDQ2157428

Jingchao Li, Bihao Su, Ciyu Nie, Zheng-Hong Wei

Publication date: 28 July 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-021-09897-z

zbMATH Keywords

reinsurance finite time survival probability multinomial approximation Markov-modulated risk model draw-down time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of continuous-time Markov processes on discrete state spaces (60J28) Actuarial mathematics (91G05)

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