Ruin problems in a discrete Markov risk model
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Publication:2518946
DOI10.1016/j.spl.2008.07.009zbMath1153.62084MaRDI QIDQ2518946
Chunmei Lan, Hu Yang, Zhimin Zhang
Publication date: 21 January 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2008.07.009
62P05: Applications of statistics to actuarial sciences and financial mathematics
60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
Related Items
Discrete time ruin probability with Parisian delay, On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates, On a discrete interaction risk model with delayed claims and randomized dividends, A note on a discrete time MAP risk model, The finite-time ruin probability under the compound binomial risk model, Joint and supremum distributions in the compound binomial model with Markovian environment, On a discrete risk model with delayed claims and a randomized dividend strategy, On a discrete risk model with two-sided jumps, \(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment
Cites Work
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- Compound binomial risk model in a Markovian environment
- On the discounted penalty function in a Markov-dependent risk model
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- Some results on the compound Markov binomial model
- Ruin Probabilities in the Compound Markov Binomial Model
