Ruin Theory in a Hidden Markov-Modulated Risk Model

DOI10.1080/15326349.2011.593408MaRDI QIDQ3094231zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Tak Kuen Siu, Hailiang Yang

Publication date 21 October 2011

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2011.593408

zbMATH Keywords

Dirichlet problemfilteringruin probabilitypartial differential equationinnovations approachhidden Markovian regime-switching model

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) Filtering in stochastic control theory (93E11)

Recommendations

• On the probability of ruin in a Markov-modulated risk model
• On the ruin problem in a Markov-modulated risk model
• scientific article; zbMATH DE number 5671414
• On the severity of ruin in a Markov-modulated risk model
• The severity of ruin in Markov-modulated risk models
• Ruin probabilities of Markov-modulated jump-diffusion risk model
• Ruin probabilities under a Markovian risk model
• Bounds for the ruin probability under a markovian modulated risk model
• Ruin probabilities of a dual Markov-modulated risk model

Cites work

• scientific article; zbMATH DE number 4020069 (Why is no real title available?)
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• Aspects of risk theory
• Controlled diffusion models for optimal dividend pay-out
• Diffusion approximations in collective risk theory
• Functional Integration and Partial Differential Equations. (AM-109)
• Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated 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
• Risk theory in a Markovian environment
• Ruin theory with compounding assets -- a survey
• Ruin theory with stochastic return on investments
• Some results about the expected ruin time in Markov-modulated risk models

Cited in

(11)

• Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
• ROBUST FILTERING AND DETECTION OF AN INSURANCE MODEL
• On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income
• Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
• Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model
• Statistical inference for partially observed Markov-modulated diffusion risk model
• Ruin theory under a generalized jump-diffusion model with regime switching
• Interplay of insurance and financial risks in a stochastic environment
• Bayesian dividend optimization and finite time ruin probabilities
• An HMM approach for optimal investment of an insurer
• Hidden Markov models with threshold effects and their applications to oil price forecasting

This page was built for publication: Ruin Theory in a Hidden Markov-Modulated Risk Model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3094231)