Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated Risk Model

DOI10.2143/AST.35.2.2003457MaRDI QIDQ5490597zbMATH OpenOpenAlexFDO

Authors Hailiang Yang, Andrew Cheuk-Yin Ng

Publication date 4 October 2006

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.35.2.2003457

zbMATH Keywords

exponential martingalechange of probability measureLundberg-type bounds

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Continuous-time Markov processes on discrete state spaces (60J27)

Recommendations

• On the distribution of the surplus before ruin in a Markov-modulated risk model
• Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model
• “Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately before and at Ruin under the Sparre Andersen Model”, Andrew C. Y. Ng and Hailiang Yang, April 2005
• Über die Verteilung des Überschusses vor und zum Zeitpunkt des Ruins in Semi-Markov-Risikomodellen;On the distribution of the surplus prior to ruin and at ruin in a discrete semi-markov risk model
• On the Distribution of the Surplus Prior to Ruin in a Discrete Semi-Markov Risk Model
• Tail bounds for the joint distribution of the surplus prior to and at ruin
• Joint distribution of the extremes before ruin and the deficit in Markov-modulated risk models
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• Bounds for the ruin probability under a markovian modulated risk model

Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• Applied Probability and Queues
• On the Distribution of the Surplus Prior and at Ruin
• Risk theory in a Markovian environment
• Simple approximations of ruin probabilities
• The Time Value of Ruin in a Sparre Andersen Model
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin

Cited in

(10)

• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• On the distribution of the surplus before ruin in a Markov-modulated risk model
• On the Distribution of the Surplus Prior to Ruin in a Discrete Semi-Markov Risk Model
• Ruin probabilities of a dual Markov-modulated risk model
• Ruin theory for a Markov regime-switching model under a threshold dividend strategy
• Authors’ Reply: Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately before and at Ruin under the Sparre Andersen Model,” Andrew C. Y. Ng and Hailiang Yang, April 2005 - Discussion by David C. M. Dickson, Steve Drekic, David A. Stanford, and Gordon E. Willmot
• Joint distribution of the extremes before ruin and the deficit in Markov-modulated risk models
• Ruin Theory in a Hidden Markov-Modulated Risk Model
• Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model
• Tail bounds for the joint distribution of the surplus prior to and at ruin

This page was built for publication: Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated Risk Model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5490597)