Parisian ruin probability for Markov additive risk processes

DOI10.1186/s13662-018-1600-4zbMath1446.91079OpenAlexW2807366499MaRDI QIDQ1712241

Xianghua Zhao, Hua Dong

Publication date: 21 January 2019

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-018-1600-4

zbMATH Keywords

Parisian ruinscale matricesMarkov additive risk process

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Risk models (general) (91B05)

Related Items

Ruin probabilities for risk process in a regime-switching environment, Parisian ruin probability - the De Vylder type approximation, Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes

Cites Work

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