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

DOI10.1016/j.insmatheco.2005.05.006zbMath1129.60066MaRDI QIDQ817286

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

zbMATH Keywords

semi-Markov processes; ruin theory; non-ruin probability; \(K_{n}\)-family of distributions; Markov-modulated processes

Mathematics Subject Classification ID

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

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

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