scientific article; zbMATH DE number 7266452

DOI10.3969/J.ISSN.1001-4268.2020.02.008zbMATH Open1463.62322MaRDI QIDQ5129447FDOQ5129447

Authors: Jingchao Li, Bihao Su 

Publication date: 27 October 2020

Title of this publication is not available (Why is that?)

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zbMATH Keywords

joint densityMarkov-modulated risk modeldistribution of aggregate claim amountdistribution of number of claims

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

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• Upper bound for finite-time ruin probability in a Markov-modulated market
• Analysis of some ruin-related quantities in a Markov-modulated risk model
• On the distribution of the surplus before ruin in a Markov-modulated risk model
• Some ruin problems for the MAP risk model
• Some results about the expected ruin time in Markov-modulated risk models
• Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
• Ruin probabilities of a dual Markov-modulated risk model
• A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model
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• The severity of ruin in Markov-modulated risk models

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