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

DOI10.1080/03461230600889652zbMath1146.91027OpenAlexW2060798282MaRDI 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 probabilityseverity of ruinMarkov-modulated risk modelrational family of distribution

Mathematics Subject Classification ID

Related Items (13)

Deficit distributions at ruin in a regime-switching Sparre Andersen model ⋮ Survival probabilities in a discrete semi-Markov risk model ⋮ Analysis of some ruin-related quantities in a Markov-modulated risk model ⋮ A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model ⋮ General methods for bounding multidimensional ruin probabilities in regime-switching models ⋮ On a discrete Markov-modulated risk model with random premium income and delayed claims ⋮ Some state-specific exit probabilities in a Markov-modulated risk model ⋮ Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model ⋮ The use of vector-valued martingales in risk theory ⋮ Risk models with dependence between claim occurrences and severities for Atlantic hurricanes ⋮ Expected discounted dividends in a discrete semi-Markov risk model ⋮ Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model ⋮ The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion

Cites Work

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• Estimation of the Lundberg coefficient for a Markov modulated risk model
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