The study of basic risk processes by discrete-time non-homogeneous Markov processes

DOI10.1090/TPMS/1032MaRDI QIDQ4686485zbMATH OpenOpenAlexWikidataFDO

Authors Guglielmo D'Amico, Fulvio Gismondi, Jacques Janssen, Raimondo Manca, Filippo Petroni, Ernesto Volpe di Prignano

Publication date 10 October 2018

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/tpms/1032

zbMATH Keywords

aggregate claim amount processclaim number processMarkov chainsnon-homogeneityreward processes

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Discrete time homogeneous Markov processes for the study of the basic risk processes
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• Markov chains. Models, algorithms and applications
• Non-life insurance mathematics. An introduction with the Poisson process
• Reward model solution methods with impulse and rate rewards: an algorithm and numerical results
• Risk theory in a Markovian environment
• Risk-Sensitive Markov Decision Processes
• Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost
• Ruin probabilities
• Semi-Markov Risk Models for Finance, Insurance and Reliability

Cited in

(3)

• On geometric recurrence for time-inhomogeneous autoregression
• Discrete time homogeneous Markov processes for the study of the basic risk processes
• A non-homogeneous continuous time semi-Markov model for the study of accumulated claim process

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Uses Software

• QRM

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