Piecewise deterministic Markov processes and their application to risk theory

MaRDI QIDQ3370461zbMATH OpenFDO

Authors Guoxin Liu

Publication date 7 February 2006

zbMATH Keywords

generatormartingale techniquejump measure

Mathematics Subject Classification ID

Martingales and classical analysis (60G46)

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• Implications for hedging of the choice of driving process for one-factor Markov-functional models
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• Run and Frequency Quotas Under Markovian Fashion and their Application in Risk Analysis
• Continuous-time Markov analysis for risk evaluation
• Distribution of deficit at ruin for a PDMP insurance risk model
• On risk-sensitive piecewise deterministic Markov decision processes
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• Quantifying and Managing Uncertainty in Piecewise-Deterministic Markov Processes
• Approximation methods for piecewise deterministic Markov processes and their costs
• Martingales in Markov processes applied to risk theory
• scientific article; zbMATH DE number 845458 (Why is no real title available?)
• scientific article; zbMATH DE number 2189767 (Why is no real title available?)
• Markovian risk process
• Ruin probabilities of a surplus process described by PDMPs

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