Ruin probabilities in models with a Markov chain dependence structure

DOI10.1080/03461238.2011.627745zbMATH Open1286.91065OpenAlexW2115640472MaRDI QIDQ2868616FDOQ2868616

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

Recommendations

• Ruin probabilities under a Markovian risk model
• Ruin probability with investment returns and dependent structures
• scientific article; zbMATH DE number 7529514
• Bounds for ruin probability in a dependent risk model with a Markov chain interest rate
• Ruin problems in a discrete Markov risk model

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)

Cites Work

• Title not available (Why is that?)
• Ruin probabilities
• The Time Value of Ruin in a Sparre Andersen Model
• On a risk model with dependence between interclaim arrivals and claim sizes
• Exponential Behavior in the Presence of Dependence in Risk Theory
• An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
• On the discounted penalty function in the renewal risk model with general interclaim times
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Risk processes analyzed as fluid queues
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• An algebraic operator approach to the analysis of Gerber-Shiu functions
• Phase-type representations in random walk and queueing problems
• Multivariate matrix-exponential distributions
• Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times

Cited In (17)

• Ruin probabilities under a Markovian risk model
• Queues and Risk Processes with Dependencies
• Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
• Simulation of ruin probabilities for risk processes of Markovian type
• Ruin probabilities as functions of the roots of a polynomial
• Ruin probabilities in classical risk models with gamma claims
• A ruin model with a resampled environment
• Ruin probabilities for risk processes in a bipartite network
• Title not available (Why is that?)
• Numerical Calculation of Ruin Probabilities for Skip-Free Markov Chains
• Ruin probability for finite Erlang mixture claims via recurrence sequences
• Inequalities on the ruin probability for light-tailed distributions with some restrictions
• Title not available (Why is that?)
• Ruin estimation in multivariate models with Clayton dependence structure
• Title not available (Why is that?)
• A model in ruin theory using derivative securities
• A transient Cramér–Lundberg model with applications to credit risk

This page was built for publication: Ruin probabilities in models with a Markov chain dependence structure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2868616)