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

DOI10.1007/s11424-010-8348-6zbMath1237.91132OpenAlexW2084531600MaRDI QIDQ646756

Rong Wu, Jinzhu Li

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

Markov-modulated processjump-diffusion modelfinite-time ruin probability

Mathematics Subject Classification ID

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

Related Items (1)

Optimal investment problem for an insurer and a reinsurer

Cites Work

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• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Asymptotics of ruin probabilities for controlled risk processes in the small claims case
• Optimal investment for insurers

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