Ruin probabilities of Markov-modulated jump-diffusion risk model

MaRDI QIDQ2992095zbMATH OpenFDO

Authors Cong Gu, Shenghong Li

Publication date 10 August 2016

zbMATH Keywords

jump-diffusion risk modelLaplace transformLundberg's fundamental equationMarkovian processruin probability

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(20)

• Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
• Numerical method for a Markov-modulated risk model with two-sided jumps
• Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory
• Some state-specific exit probabilities in a Markov-modulated risk model
• An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
• Conditional ruin probability with a Markov regime switching model
• Modelling claims run-off with reversible jump Markov chain Monte Carlo methods
• Ruin Theory in a Hidden Markov-Modulated Risk Model
• Ruin probability of the earnings process under jump-diffusion model
• scientific article; zbMATH DE number 5671414 (Why is no real title available?)
• Ruin theory under a generalized jump-diffusion model with regime switching
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• Gambler's ruin problem in a Markov-modulated jump-diffusion risk model
• Markov-modulated diffusion risk models
• Ruin probability for the risk process perturbed by diffusion in a Markovian environment
• Ruin probabilities of a dual Markov-modulated risk model
• Ruin probabilities in a Markovian shot-noise environment
• Liquidation risk for exponential spectrally negative Lévy processes
• On the probability of ruin in a Markov-modulated risk model
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