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

DOI10.1007/S11424-010-8348-6MaRDI QIDQ646756zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3888631 (Why is no real title available?)
• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• 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
• Finite dimensional optimal filters for a class of ltô- processes with jumping parameters
• On the probability of ruin in a Markov-modulated risk model
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal investment for insurer with jump-diffusion risk process
• Optimal investment for insurers
• Upper bound for ruin probabilities under optimal investment and proportional reinsurance

Cited in

(3)

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

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