Ruin probabilities in models with a Markov chain dependence structure

DOI10.1080/03461238.2011.627745MaRDI QIDQ2868616zbMATH OpenOpenAlexFDO

Authors Corina Constantinescu, Dominik Kortschak, Véronique Maume-Deschamps

Publication date 17 December 2013

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2011.627745

zbMATH Keywords

Markov chainrandom walkdependenceruin probabilitymatrix exponential distribution

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sums of independent random variables; random walks (60G50) Markov renewal processes, semi-Markov processes (60K15) Stochastic models in economics (91B70)

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Cites work

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• Ruin probabilities
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• Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times

Cited in

(21)

• A risk model based on Markov chains with marked transitions
• Ruin probabilities under a Markovian risk model
• Asymptotics for the sum of three state Markov dependent random variables
• Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
• Queues and Risk Processes with Dependencies
• Simulation of ruin probabilities for risk processes of Markovian type
• Ruin probabilities in classical risk models with gamma claims
• Ruin probabilities as functions of the roots of a polynomial
• A ruin model with a resampled environment
• A transient Cramér-Lundberg model with applications to credit risk
• Ruin probabilities for risk processes in a bipartite network
• scientific article; zbMATH DE number 1959516 (Why is no real title available?)
• Numerical Calculation of Ruin Probabilities for Skip-Free Markov Chains
• Ruin probability for finite Erlang mixture claims via recurrence sequences
• Criterion of semi-Markov dependent risk model
• On the Markov-dependent risk model with tax
• scientific article; zbMATH DE number 710499 (Why is no real title available?)
• Inequalities on the ruin probability for light-tailed distributions with some restrictions
• Ruin estimation in multivariate models with Clayton dependence structure
• scientific article; zbMATH DE number 5926319 (Why is no real title available?)
• A model in ruin theory using derivative securities

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