Risk Processes with Interest Force in Markovian Environment

DOI10.1080/15326340903291263zbMath1222.91025OpenAlexW2010388398MaRDI QIDQ3653123

Landy Rabehasaina

Publication date: 18 December 2009

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: http://www.tandfonline.com/doi/abs/10.1080/15326340903291263

zbMATH Keywords

risk processinterest forcereinsuranceruin problemfirst-time passage

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Continuous-time Markov processes on discrete state spaces (60J27) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (8)

Analysis of a multivariate claim process ⋮ A survey of some recent results on Risk Theory ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ Recursive methods for a multi-dimensional risk process with common shocks ⋮ A Markov additive risk process in dimension 2 perturbed by a fractional Brownian motion ⋮ Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model ⋮ Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks ⋮ A Two-Dimensional Risk Model with Proportional Reinsurance

Cites Work

• On the probability of ruin in a Markov-modulated risk model
• On a joint distribution for the risk process with constant interest force
• On a gamma series expansion for the time-dependent probability of collective ruin
• Some results on ruin probabilities in a two-dimensional risk model.
• Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
• Multivariate risk model of phase type
• Ruin probabilities expressed in terms of storage processes
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• EXACT RESULTS FOR A FLUID MODEL WITH STATE-DEPENDENT FLOW RATES
• Compliance of the Token-Bucket Model with Markovian Traffic
• Risk processes analyzed as fluid queues

This page was built for publication: Risk Processes with Interest Force in Markovian Environment