Double-Markov risk model

DOI10.1016/S0252-9602(13)60002-8zbMATH Open1289.60130MaRDI QIDQ2437104FDOQ2437104

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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