On the probability of ruin in a Markov-modulated risk model

DOI10.1016/J.INSMATHECO.2005.05.006zbMATH Open1129.60066OpenAlexW2044198994MaRDI QIDQ817286FDOQ817286

Authors: Yi Lu, Shuanming Li 

Publication date: 8 March 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.05.006

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zbMATH Keywords

semi-Markov processesnon-ruin probabilityruin theory\(K_{n}\)-family of distributionsMarkov-modulated processes

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) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cited In (67)

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• On the Markov-modulated insurance risk model with interest, debit interest and tax payments
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• Estimating the parameters of a seasonal Markov-modulated Poisson process
• Risk theory in a Markovian environment
• Upper bound for finite-time ruin probability in a Markov-modulated market
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• A stochastic differential game for optimal investment of an insurer with regime switching
• Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
• The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
• Studies on a double Poisson-geometric insurance risk model with interference
• Simulation of ruin probabilities for risk processes of Markovian type
• Linear quadratic Gaussian homing for Markov processes with regime switching and applications to controlled population growth/decay
• Analysis of some ruin-related quantities in a Markov-modulated risk model
• Risk models with dependence between claim occurrences and severities for Atlantic hurricanes
• A Note on Ruin in a Two State Markov Model
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• \(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment
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• Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
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• Interplay of insurance and financial risks in a stochastic environment
• Singularities of the matrix exponent of a Markov additive process with one-sided jumps
• The probability of ruin in a discrete semi-Markov risk model
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• On the severity of ruin in a Markov-modulated risk model
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• The severity of ruin in Markov-modulated risk models
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• The use of vector-valued martingales in risk theory
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• Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model
• Distribution of the number of zeros in Markov-modulated risk model
• Pascal model with Markov-modulated premium rate under random interest

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