Ruin Theory in a Hidden Markov-Modulated Risk Model

DOI10.1080/15326349.2011.593408zbMath1237.91127MaRDI QIDQ3094231

Tak Kuen Siu, Robert J. Elliott, Hailiang Yang

Publication date: 21 October 2011

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2011.593408

zbMATH Keywords

Dirichlet problem; partial differential equation; filtering; ruin probability; innovations approach; hidden Markovian regime-switching model

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

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