The time to ruin for a class of Markov additive risk process with two-sided jumps

DOI10.1239/aap/1134587749zbMath1100.60021OpenAlexW2062126404MaRDI QIDQ5475377

Martin Jacobsen

Publication date: 19 June 2006

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1134587749

zbMATH Keywords

Markov processmartingaleadditive processtime to ruinrisk modelundershootprobability of ruinoptional sampling

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Characteristic functions; other transforms (60E10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Markov renewal processes, semi-Markov processes (60K15)

Related Items (24)

Ruin probabilities for risk process in a regime-switching environment ⋮ Exit times for a class of piecewise exponential Markov processes with two-sided jumps ⋮ The maximum of a Lévy process reflected at a general barrier ⋮ The perturbed compound Poisson risk model with two-sided jumps ⋮ Lévy Processes, Phase-Type Distributions, and Martingales ⋮ Numerical method for a Markov-modulated risk model with two-sided jumps ⋮ The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process ⋮ Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ The two-barrier escape problem for compound renewal processes with two-sided jumps ⋮ On a dual model with barrier strategy ⋮ First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type ⋮ On a class of stochastic models with two-sided jumps ⋮ Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps ⋮ The Time to Ruin in Some Additive Risk Models with Random Premium Rates ⋮ On the time to ruin and the deficit at ruin in a risk model with double-sided jumps ⋮ Analysis of the multiple roots of the Lundberg fundamental equation in the PH (n) risk model ⋮ A generalized penalty function in the Sparre Andersen risk model with two-sided jumps ⋮ The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times ⋮ On a discrete risk model with two-sided jumps ⋮ Potential measures for spectrally negative Markov additive processes with applications in ruin theory ⋮ A Direct Approach to the Discounted Penalty Function ⋮ On a First-Passage-Time Problem for the Compound Power-Law Process ⋮ Perturbed Risk Processes Analyzed as Fluid Flows ⋮ Escape probabilities from an interval for compound Poisson processes with drift

Cites Work

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