Markovian risk process

DOI10.1007/S10483-007-0712-YMaRDI QIDQ940360zbMATH OpenOpenAlexFDO

Authors Yunzhi Yan, F. Zhao, Dafan Fang, Hanxing Wang

Publication date 1 September 2008

Published in Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10483-007-0712-y

zbMATH Keywords

Markov jump processruin probability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05)

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Cites work

• scientific article; zbMATH DE number 4013703 (Why is no real title available?)
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• Bounds for the ruin probability under a markovian modulated risk model
• Expansions for Markov-modulated systems and approximations of ruin probability
• Heavy-tailed modelling in insurance
• Large deviations of heavy-tailed random sums with applications in insurance and finance
• Risk theory in a Markovian environment
• Ruin probabilities under a Markovian risk model

Cited in

(12)

• Stochastic risk models. II
• scientific article; zbMATH DE number 2058462 (Why is no real title available?)
• Continuous-time Markov analysis for risk evaluation
• Discrete time homogeneous Markov processes for the study of the basic risk processes
• The method of successive approximations for calculating the probability of bankruptcy of a risk process in a Markovian environment
• Adjoint multi-dimensional Markov processes of a \(q\)-risk model
• Risk model with change-point claims process
• Conditional law of risk processes given that ruin occurs
• A Markov Risk Model with Two Classes of Insurance Business
• Ruin probabilities and the compound Poisson-Markov chain
• Ruin probabilities under a Markovian risk model
• scientific article; zbMATH DE number 1537557 (Why is no real title available?)

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