Ruin probabilities in models with a Markov chain dependence structure
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Publication:2868616
DOI10.1080/03461238.2011.627745zbMath1286.91065MaRDI QIDQ2868616
Corina Constantinescu, Véronique Maume-Deschamps, Dominik Kortschak
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
60G50: Sums of independent random variables; random walks
91B70: Stochastic models in economics
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
60K15: Markov renewal processes, semi-Markov processes
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