The distribution of extrema for risk processes on the finite Markov chain (Q2740068)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: The distribution of extrema for risk processes on the finite Markov chain |
scientific article; zbMATH DE number 1646480
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The distribution of extrema for risk processes on the finite Markov chain |
scientific article; zbMATH DE number 1646480 |
Statements
16 September 2001
0 references
risk process
0 references
ruin probability
0 references
semi-continuous Poisson process
0 references
extrema of the process
0 references
0.9000207
0 references
0.89462173
0 references
0.88979125
0 references
0.88813734
0 references
0.88743293
0 references
The distribution of extrema for risk processes on the finite Markov chain (English)
0 references
The author considers the risk processes in Markov environment as the Poisson process on the homogeneous irreducible finite Markov chain \(\{x(t)\), \(t\geq 0\}\). The process \(\{\xi(t),x(t)\}\) is a two-dimensional homogeneous Markov process, where \(\xi(t)\) is the process with conditionally independent increments. Using some factorization results for such processes the relations for the distributions of extrema are proposed and a relation for the distribution of the absolute minimum of \(\xi(t)\) is established.
0 references
