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

DOI10.1016/J.INSMATHECO.2005.05.006MaRDI QIDQ817286zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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• The Probability of Ruin in a Kind of Cox Risk Model with Variable Premium Rate
• The severity of ruin in a discrete semi-Markov risk model
• The severity of ruin in Markov-modulated risk models

Cited in

(68)

• Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
• Deficit distributions at ruin in a regime-switching Sparre Andersen model
• Survival probabilities in a discrete semi-Markov risk model
• Estimating the parameters of a seasonal Markov-modulated Poisson process
• Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
• Constant barrier strategies in a two-state Markov-modulated dual risk model
• On optimal proportional reinsurance and investment in a Markovian regime-switching economy
• Studies on a double Poisson-geometric insurance risk model with interference
• Risk models with dependence between claim occurrences and severities for Atlantic hurricanes
• An insurance risk process with a generalized income process: a solvency analysis
• Statistical inference for partially observed Markov-modulated diffusion risk model
• Some state-specific exit probabilities in a Markov-modulated risk model
• Transform approach for discounted aggregate claims in a risk model with descendant claims
• Linear quadratic Gaussian homing for Markov processes with regime switching and applications to controlled population growth/decay
• Classical and singular stochastic control for the optimal dividend policy when there is regime switching
• \(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment
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• Expected discounted dividends in a discrete semi-Markov risk model
• When does surplus reach a given target before ruin in the Markov-modulated diffusion model?
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• Some results about the expected ruin time in Markov-modulated risk models
• The probability of ruin in a Markovian environment
• Ruin probabilities of Markov-modulated jump-diffusion risk model
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• Ruin Theory in a Hidden Markov-Modulated Risk Model
• Simulation of ruin probabilities for risk processes of Markovian type
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• Ruin probabilities for risk process in a regime-switching environment
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• The Markov-modulated risk model with investment
• The probability of ruin in a discrete semi-Markov risk model
• On the severity of ruin in a Markov-modulated risk model
• Markov-modulated diffusion risk models
• Ruin probabilities of a dual Markov-modulated risk model
• Upper bound for finite-time ruin probability in a Markov-modulated market
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• On the ruin problem in a Markov-modulated risk model
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• On the Markov-modulated insurance risk model with tax
• Singularities of the matrix exponent of a Markov additive process with one-sided jumps

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