Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm

DOI10.1016/J.AMC.2022.126969OpenAlexW4220728911WikidataQ114210921 ScholiaQ114210921MaRDI QIDQ2139728

Lin Xiao

Publication date: 19 May 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2022.126969

zbMATH Keywords

interest rateMarkovian environmentcompound binomial risk modelrecursive equationcalculation algorithmconditional ruin probabilities

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Applications of statistics (62Pxx) Markov processes (60Jxx)

Cites Work

• Ruin probabilities in the compound binomial model
• Compound binomial risk model in a Markovian environment
• On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends
• On the Markov-modulated insurance risk model with tax
• Mathematical fun with ruin theory
• Discounted probabilities and ruin theory in the compound binomial model
• Discounted aggregate claim costs until ruin in the discrete-time renewal risk model
• A Markov decision problem in a risk model with interest rate and Markovian environment
• Bounds for the ruin probability under a markovian modulated risk model
• The severity of ruin in a discrete semi-Markov risk model
• On the Distribution of the Surplus Prior to Ruin in a Discrete Semi-Markov Risk Model
• Classical numerical ruin probabilities
• Risk theory in a Markovian environment
• Correction
• The probability of ruin in a discrete semi-Markov risk model

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