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Ruin Theory in a Hidden Markov-Modulated Risk Model - MaRDI portal

Ruin Theory in a Hidden Markov-Modulated Risk Model (Q3094231)

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Ruin Theory in a Hidden Markov-Modulated Risk Model
scientific article

    Statements

    title
    Ruin Theory in a Hidden Markov-Modulated Risk Model (English)
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    author
    Robert J. Elliott
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    Tak Kuen Siu
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    Hailiang Yang
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    publication date
    21 October 2011
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    zbMATH Keywords
    Dirichlet problem
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    filtering
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    hidden Markovian regime-switching model
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    innovations approach
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    partial differential equation
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    ruin probability
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    93E11
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    60J20
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    zbMATH DE Number
    5961812
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    OpenAlex ID
    W1966693005
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