On a multi-dimensional risk model with regime switching

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

Hailiang Yang, Guojing Wang, Guanqing 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

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

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• On the probability of ruin in a Markov-modulated risk model
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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

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