Joint distribution of the extremes before ruin and the deficit in Markov-modulated risk models

zbMATH Open1224.62123MaRDI QIDQ3071840FDOQ3071840

Authors: Jiguo Dong, Guoxin Liu 

Publication date: 5 February 2011

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zbMATH Keywords

piecewise-deterministic Markov processessupplementary variables

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes (60J99)

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• On the distribution of the surplus before ruin in a Markov-modulated risk model
• Martingales and insurance risk
• Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated Risk Model

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