Asymptotic results for a Markov-modulated risk process with stochastic investment

DOI10.1016/J.CAM.2016.09.010MaRDI QIDQ344244zbMATH OpenOpenAlexFDO

Authors Lewis Ramsden, Apostolos D. Papaioannou

Publication date 22 November 2016

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2016.09.010

zbMATH Keywords

Frobenius method for systemsintegro-differential equation systeminvestmentMarkov-modulated risk processregular variationruin probabilities

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

• A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
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• On Cramér-like asymptotics for risk processes with stochastic return on investments
• On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion
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Cited in

(11)

• Risk- and value-based management for non-life insurers under solvency constraints
• Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
• The log-asset dynamic with Euler-Maruyama scheme under Wishart processes
• Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory
• Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Ruin probabilities in classical risk models with gamma claims
• Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
• The Markov-modulated risk model with investment
• Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes
• On ruin probabilities in a Sparre Andersen type model in the presence of risky investments and random switching

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