Ruin probability estimates in the Pascal model with Markov-modulated premium rate under random interest

MaRDI QIDQ3071263zbMATH OpenFDO

Authors Xianmin Cheng, Ying Wang

Publication date 5 February 2011

zbMATH Keywords

Markov-modulatedinequalities for ruin probabilitiesPascal model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)

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(3)

• Randomized dividends in the Markov-modulated Pascal model with stochastic interest rates
• Probability of ruin with variable premium rate in a Markovian environment with constant interest force
• Pascal model with Markov-modulated premium rate under random interest

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