Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model

DOI10.1007/S11009-018-9627-2zbMath1457.91330OpenAlexW2793670689MaRDI QIDQ2218859

Marcin Rudź, Lestaw Gajek

Publication date: 18 January 2021

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

Full work available at URL: https://doi.org/10.1007/s11009-018-9627-2

zbMATH Keywords

Solvency IIruin probabilitiesrisk operatorsrisk-switching modelsMgf's envelopesrisk management based on internal models

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Actuarial mathematics (91G05)

Related Items (3)

Deficit distributions at ruin in a regime-switching Sparre Andersen model ⋮ Statistical inference for partially observed Markov-modulated diffusion risk model ⋮ General methods for bounding multidimensional ruin probabilities in regime-switching models

Cites Work

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• Sharp approximations of ruin probabilities in the discrete time models
• Use of differential and integral inequalities to bound ruin and queuing probabilities
• Applied Probability and Queues
• Risk theory in a Markovian environment

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