Double-Markov risk model

DOI10.1016/S0252-9602(13)60002-8MaRDI QIDQ2437104zbMATH OpenFDO

Authors Hui Ou, Xiaoyun Mo, Jieming Zhou, Xiangqun Yang

Publication date 28 February 2014

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

zbMATH Keywords

Markov chainsurvival probabilityrecursion formula\(Q\) processdouble-Markov risk characterization

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Applications of statistics to actuarial sciences and financial mathematics (62P05) Continuous-time Markov processes on discrete state spaces (60J27)

Cited in

(1)

• Cash subadditive risk measures for portfolio vectors

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