On the severity of ruin in a Markov-modulated risk model

DOI10.1080/03461230600889652zbMath1146.91027MaRDI QIDQ5430562

Yi Lu

Publication date: 16 December 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230600889652

zbMATH Keywords

ruin probability; severity of ruin; Markov-modulated risk model; rational family of distribution

Mathematics Subject Classification ID

Related Items

The use of vector-valued martingales in risk theory

Cites Work

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