Time in the red in a two state Markov model.

DOI10.1016/S0167-6687(02)00174-9zbMath1055.91057MaRDI QIDQ1413365

Christian Wagner

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Ruin probabilitySeverity of ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (3)

Discrete-time risk models with surplus-dependent premium corrections ⋮ Some results on the compound Markov binomial model ⋮ Strategies for Dividend Distribution: A Review

Cites Work

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• How long is the surplus below zero?
• Some results about the expected ruin time in Markov-modulated risk models
• A Note on Ruin in a Two State Markov Model

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