Piecewise deterministic Markov processes and their application to risk theory

zbMATH Open1127.91356MaRDI QIDQ3370461FDOQ3370461

Authors: Guoxin Liu 

Publication date: 7 February 2006

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zbMATH Keywords

generatormartingale techniquejump measure

Mathematics Subject Classification ID

Martingales and classical analysis (60G46)

Cited In (14)

• Ruin theory for the risk process described by PDMPs
• Title not available (Why is that?)
• Distribution of deficit at ruin for a PDMP insurance risk model
• Approximation methods for piecewise deterministic Markov processes and their costs
• Quantifying and Managing Uncertainty in Piecewise-Deterministic Markov Processes
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• Continuous-time Markov analysis for risk evaluation
• On risk-sensitive piecewise deterministic Markov decision processes
• Ruin probabilities of a surplus process described by PDMPs
• Implications for hedging of the choice of driving process for one-factor Markov-functional models
• Markovian risk process
• Martingales in Markov processes applied to risk theory
• Run and Frequency Quotas Under Markovian Fashion and their Application in Risk Analysis

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