An application of semi-Markovian models to the ruin problem

MaRDI QIDQ4920672zbMATH OpenFDO

Authors Elena Almaraz Luengo

Publication date 21 May 2013

Full work available at URL http://www.emis.de/journals/RCE/ingles/V34/v34n3a06.html

zbMATH Keywords

couplingMarkov chainssemi-Markov processsimulationstochastic ordering

Mathematics Subject Classification ID

Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

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(4)

• scientific article; zbMATH DE number 1165657 (Why is no real title available?)
• Criterion of semi-Markov dependent risk model
• The probability of ruin in a discrete semi-Markov risk model
• Random recurrence equations and ruin in a Markov-dependent stochastic economic environment

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