Ruin probabilities with a Markov chain interest model

DOI10.1016/j.insmatheco.2004.06.004zbMath1122.91340OpenAlexW2012270151MaRDI QIDQ2485524

Jun Cai, David C. M. Dickson

Publication date: 5 August 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/33689

zbMATH Keywords

Markov chainRuin probabilityLundberg's inequalityHeavy-tailed distributionDiscrete time risk processRate of interestRegularly varying tail

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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Cites Work

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