Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory

DOI10.3150/21-BEJ1389zbMath1489.60129arXiv2012.10712OpenAlexW3113426000MaRDI QIDQ2137021

Anita Behme, Apostolos Sideris

Publication date: 16 May 2022

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.10712

zbMATH Keywords

ruin probabilitystationary processLévy processexponential functionalMarkov-switching modelMarkov additive processrisk theorygeneralized Ornstein-Uhlenbeck processMarkov-modulated random recurrence equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Random operators and equations (aspects of stochastic analysis) (60H25)

Related Items (2)

On ruin probabilities with investments in a risky asset with a regime-switching price ⋮ Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals

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