Markov process functionals in finance and insurance
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Publication:846781
DOI10.1007/s11766-009-1913-xzbMath1199.60314OpenAlexW2053574276MaRDI QIDQ846781
Publication date: 12 February 2010
Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11766-009-1913-x
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Cites Work
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- Aspects of risk theory
- Best rational approximation to Markov functions
- A Markov property for set-indexed processes
- Q-Markov random probability measures and their posterior distributions.
- Probability of ruin with variable premium rate
- MARKOV REPRESENTATIONS OF STOCHASTIC SYSTEMS
- Linear dynamics for the state vector of Markov chain functions
- Ruin probabilities and investment under interest force in the presence of regularly varying tails
- Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
- Probability of ruin with variable premium rate in a Markovian environment
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