Banach contraction principle and ruin probabilities in regime-switching models

DOI10.1016/j.insmatheco.2018.02.005zbMath1402.91195OpenAlexW2792005628WikidataQ130160219 ScholiaQ130160219MaRDI QIDQ1641139

Marcin Rudź, Lestaw Gajek

Publication date: 15 June 2018

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.02.005

zbMATH Keywords

Markov chainsBanach contraction principleregime-switching modelsruin probabilitiesrisk operators

Mathematics Subject Classification ID

Fixed-point and coincidence theorems (topological aspects) (54H25)

Related Items

Gambler's ruin problem in a Markov-modulated jump-diffusion risk model ⋮ Deficit distributions at ruin in a regime-switching Sparre Andersen model ⋮ Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model ⋮ General methods for bounding multidimensional ruin probabilities in regime-switching models ⋮ Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model ⋮ Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model ⋮ Unnamed Item ⋮ q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model ⋮ Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes

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