On a multi-dimensional risk model with regime switching

DOI10.1016/J.INSMATHECO.2016.03.003zbMATH Open1369.91099OpenAlexW2300043038MaRDI QIDQ320264FDOQ320264

Authors: Guanqing Wang, Hailiang Yang, Guojing Wang 

Publication date: 6 October 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/231317

Recommendations

• Cox risk model with correlated classes of business
• The discrete-time risk model with correlated classes of business
• Ruin probabilities in Cox risk models with two dependent classes of business
• On a correlated aggregate claims model with thinning-dependence structure
• Ruin probabilities for a risk model with dependent classes of insurance businesses

zbMATH Keywords

regime switchingtime of ruinupper boundscorrelated risk modelCox processjoint ruin probabilitymodified Bessel functionmulti-dimensional risk models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Continuous-time Markov processes on discrete state spaces (60J27)

Cites Work

• Ruin probabilities
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• On a reduced form credit risk model with common shock and regime switching
• Authors’ Reply: Pricing Annuity Guarantees Under a Regime-Switching Model - Discussion by Robert J. Elliott and Tak Kuen Siu
• Option pricing and Esscher transform under regime switching
• Aspects of risk theory
• Some results on ruin probabilities in a two-dimensional risk model.
• On the discounted penalty function in a Markov-dependent risk model
• First passage times of a jump diffusion process
• Survival probability for a two-dimensional risk model
• Occupation times and Bessel densities
• Aggregate survival probability of a portfolio with dependent subportfolios.
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps
• Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
• Title not available (Why is that?)
• On the probability of ruin in a Markov-modulated risk model
• On a correlated aggregate claims model with thinning-dependence structure
• Ruin theory for a Markov regime-switching model under a threshold dividend strategy

Cited In (10)

• General methods for bounding multidimensional ruin probabilities in regime-switching models
• Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
• The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier
• Banach contraction principle and ruin probabilities in regime-switching models
• A generalization of Gerber's inequality for ruin probabilities in risk-switching models
• Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model
• Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model
• A \(2\times 2\) random switching model and its dual risk model
• Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation
• On a Risk Model With Dual Seasonalities

This page was built for publication: On a multi-dimensional risk model with regime switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q320264)