Ruin probabilities for risk process in a regime-switching environment
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Publication:5042780
Abstract: In this paper we give few expressions and asymptotics of ruin probabilities for a Markov modulated risk process for various regimes of a time horizon, initial reserves and a claim size distribution. We also consider few versions of the ruin time.
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Cited in
(20)- Large claims approximations for risk processes in a Markovian environment
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