Upper bound for finite-time ruin probability in a Markov-modulated market

DOI10.1007/S11424-010-8348-6zbMATH Open1237.91132OpenAlexW2084531600MaRDI QIDQ646756FDOQ646756

Authors: Jinzhu Li, Rong Wu 

Publication date: 17 November 2011

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-010-8348-6

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zbMATH Keywords

finite-time ruin probabilityjump-diffusion modelMarkov-modulated process

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal investment for insurers
• Optimal investment for insurer with jump-diffusion risk process
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• Finite dimensional optimal filters for a class of ltô- processes with jumping parameters
• On the probability of ruin in a Markov-modulated risk model
• Upper bound for ruin probabilities under optimal investment and proportional reinsurance
• Asymptotic ruin probabilities and optimal investment
• Asymptotics of ruin probabilities for controlled risk processes in the small claims case
• Bounds of ruin probability for regime-switching models using time scale separation
• Expansions for Markov-modulated systems and approximations of ruin probability

Cited In (3)

• Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies
• Optimal investment problem for an insurer and a reinsurer
• Small-time ruin for a financial process modulated by a Harris recurrent Markov chain

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