Ruin probabilities of a surplus process described by PDMPs

DOI10.1007/S10255-006-6137-8MaRDI QIDQ925989zbMATH OpenOpenAlexFDO

Authors Jing-Min He, Rong Wu, Huayue Zhang

Publication date 26 May 2008

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-006-6137-8

zbMATH Keywords

exponentially distributed claim sizeintegro-differential equationpiecewise deterministic Markov processsurplus process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

Review text

The class of risk processes described by a piecewise deterministic Markov process is considered, i.e. between claim arrivals epochs the process follows a deterministic path described by a measurable continuously differentiable function. An integro-differential equation for the ultimate ruin probability for the surplus process is derived. Under a certain assumption, it is transformed into the ruin probability of a risk process whose premiums depend on the current reserves. Then the ruin probability and its upper bounds are obtained using change of the probability measure and local adjustment coefficients. The example is considered when the claim-size is exponentially distributed.

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• Ruin theory for the risk process described by PDMPs
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Cites work

• scientific article; zbMATH DE number 425394 (Why is no real title available?)
• scientific article; zbMATH DE number 3125948 (Why is no real title available?)
• scientific article; zbMATH DE number 3901778 (Why is no real title available?)
• scientific article; zbMATH DE number 1122116 (Why is no real title available?)
• Martingales and insurance risk
• Ruin probabilities via local adjustment coefficients
• Ruin theory for the risk process described by PDMPs

Cited in

(10)

• Distribution of deficit at ruin for a PDMP insurance risk model
• Ruin theory for the risk process described by PDMPs
• On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs
• Piecewise deterministic Markov processes and their application to risk theory
• Ruin probabilities expressed in terms of storage processes
• Martingales and insurance risk
• The Time to Ruin in Some Additive Risk Models with Random Premium Rates
• The Probability of Ruin in a Kind of Cox Risk Model with Variable Premium Rate
• Optimal dividend-penalty policies for a piecewise-deterministic compound Poisson risk model with transaction costs
• Conditional law of risk processes given that ruin occurs

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