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

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)

• Cramér-Lundberg model with stochastic premiums and continuous non-insurance costs
• Limit theorems and structural properties of the cat-and-mouse Markov chain and its generalisations
• Ruin probabilities for risk process in a regime-switching environment
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• Distribution of the number of zeros in Markov-modulated risk model
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• Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model
• Ruin probability estimates in the Pascal model with Markov-modulated premium rate under random interest
• A risk process driven by a Markovian environment process
• 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
• On the Markov-modulated insurance risk model with interest, debit interest and tax payments
• Analytic value function for optimal regime-switching pairs trading rules
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• On the ruin problem in a Markov-modulated risk model
• Estimating the parameters of a seasonal Markov-modulated Poisson process
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• On a Generalization of the Risk Model with Markovian Claim Arrivals
• The use of vector-valued martingales in risk theory
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• Statistical inference for partially observed Markov-modulated diffusion risk model
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• Ruin probabilities of Markov-modulated jump-diffusion risk model
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• On the Markov-modulated insurance risk model with tax
• On the severity of ruin in a Markov-modulated risk model
• On a multi-dimensional risk model with regime switching
• Analysis of some ruin-related quantities in a Markov-modulated risk model
• Expected discounted dividends in a discrete semi-Markov risk model
• Risk models with dependence between claim occurrences and severities for Atlantic hurricanes
• scientific article; zbMATH DE number 5671414 (Why is no real title available?)
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• The severity of ruin in Markov-modulated risk models
• A Note on Ruin in a Two State Markov Model
• Ruin probabilities for Bayesian exchangeable claims processes
• Markov-modulated diffusion risk models
• When does surplus reach a given target before ruin in the Markov-modulated diffusion model?
• Path-depict and probabilistic construction of a Markov-modulated risk model

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