Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment

DOI10.1007/s11009-019-09742-4zbMath1455.91217arXiv1812.09069OpenAlexW2982767482WikidataQ126832005 ScholiaQ126832005MaRDI QIDQ2218827

P. J. C. Spreij, G. A. Delsing, M. R. H. Mandjes, Erik M. M. Winands

Publication date: 18 January 2021

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

Full work available at URL: https://arxiv.org/abs/1812.09069

zbMATH Keywords

Markov processesapproximationsruin probabilityinsurance riskmulti-dimensional risk process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of continuous-time Markov processes on discrete state spaces (60J28) Actuarial mathematics (91G05)

Related Items (8)

Pandemic-type failures in multivariate Brownian risk models ⋮ A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model ⋮ Parisian & cumulative Parisian ruin probability for two-dimensional Brownian risk model ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ Cumulative Parisian ruin probability for two-dimensional Brownian risk model ⋮ Parisian ruin probability for two-dimensional Brownian risk model ⋮ Uniform bounds for ruin probability in multidimensional risk model ⋮ Finite-time ruin probability for correlated Brownian motions

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