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

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

Martin Jacobsen

Publication date: 19 June 2006

Published in: Advances in Applied Probability (Search for Journal in Brave)

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

zbMATH Keywords

Markov process; martingale; additive process; time to ruin; risk model; undershoot; probability of ruin; optional sampling

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60E10: Characteristic functions; other transforms

60G40: Stopping times; optimal stopping problems; gambling theory

60G44: Martingales with continuous parameter

60K15: Markov renewal processes, semi-Markov processes

Related Items

On a class of stochastic models with two-sided jumps, On the time to ruin and the deficit at ruin in a risk model with double-sided jumps, 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, The maximum of a Lévy process reflected at a general barrier, Exit times for a class of piecewise exponential Markov processes with two-sided jumps, The perturbed compound Poisson risk model with two-sided jumps, 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, First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type

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