On the ruin problem in a Markov-modulated risk model

DOI10.1007/S11009-007-9044-4MaRDI QIDQ931376zbMATH OpenOpenAlexFDO

Authors Xin Zhang

Publication date 25 June 2008

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-007-9044-4

zbMATH Keywords

Laplace transformGerber-Shiu functionMarkov additive processMarkov-modulated compound Poisson model

Mathematics Subject Classification ID

Recommendations

• On the probability of ruin in a Markov-modulated risk model
• scientific article; zbMATH DE number 5671414
• On the severity of ruin in a Markov-modulated risk model
• Ruin probabilities of Markov-modulated jump-diffusion risk model
• A risk process driven by a Markovian environment process

Cites work

• scientific article; zbMATH DE number 805121 (Why is no real title available?)
• A Recurring Theorem on Determinants
• A matrix exponential form for hitting probabilities and its application to a Markov-modulated fluid queue with downward jumps
• Hitting probabilities in a Markov additive process with linear movements and upward jumps: applications to risk and queueing processes.
• On the Time Value of Ruin
• On the discounted penalty function in a Markov-dependent risk model
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• On the probability of ruin in a Markov-modulated risk model
• On the time to ruin for Erlang(2) risk processes.
• Risk theory in a Markovian environment
• Single-server queue with Markov-dependent inter-arrival and service times
• Stationary distributions for fluid flow models with or without brownian noise

Cited in

(30)

• On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income
• The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions
• Upper bound for finite-time ruin probability in a Markov-modulated market
• Analysis of some ruin-related quantities in a Markov-modulated risk model
• Some results about the expected ruin time in Markov-modulated risk models
• Ruin problems in the generalized Erlang(n) risk model
• Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
• A risk process driven by a Markovian environment process
• A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model
• Ruin probabilities of Markov-modulated jump-diffusion risk model
• Survival probabilities in a discrete semi-Markov risk model
• On the probability of ruin in a Markov-modulated risk model
• Asymptotic results for a Markov-modulated risk process with stochastic investment
• scientific article; zbMATH DE number 5671414 (Why is no real title available?)
• scientific article; zbMATH DE number 1165666 (Why is no real title available?)
• On differentiability of ruin functions under Markov-modulated models
• Numerical method for a Markov-modulated risk model with two-sided jumps
• Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps
• On the functional and local limit theorems for Markov modulated compound Poisson processes
• Path-depict and probabilistic construction of a Markov-modulated risk model
• The ruin problem for finite Markov chains
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Expected discounted dividends in a discrete semi-Markov risk model
• Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment
• On the severity of ruin in a Markov-modulated risk model
• Ruin Theory in a Hidden Markov-Modulated Risk Model
• The severity of ruin in Markov-modulated risk models
• On a Generalization of the Risk Model with Markovian Claim Arrivals
• Ruin problems in a discrete Markov risk model
• The Markov-modulated risk model with investment

This page was built for publication: On the ruin problem in a Markov-modulated risk model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q931376)