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

zbMATH Open1224.91051MaRDI QIDQ3071263FDOQ3071263

Authors: Xianmin Cheng, Ying Wang 

Publication date: 5 February 2011

Recommendations

• Pascal model with Markov-modulated premium rate under random interest
• 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
• scientific article; zbMATH DE number 5671414
• On the probability of ruin in a Markov-modulated risk model

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)

Cited In (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

This page was built for publication: Ruin probability estimates in the Pascal model with Markov-modulated premium rate under random interest

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3071263)