Ruin problems in a discrete Markov risk model

DOI10.1016/j.spl.2008.07.009zbMath1153.62084OpenAlexW2009491549MaRDI QIDQ2518946

Chunmei Lan, Hu Yang, Zhimin Zhang

Publication date: 21 January 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.07.009

zbMATH Keywords

martingalesLundberg equation

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 (9)

\(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment ⋮ A note on a discrete time MAP risk model ⋮ On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates ⋮ The finite-time ruin probability under the compound binomial risk model ⋮ Discrete time ruin probability with Parisian delay ⋮ On a discrete interaction risk model with delayed claims and randomized dividends ⋮ Joint and supremum distributions in the compound binomial model with Markovian environment ⋮ On a discrete risk model with two-sided jumps ⋮ On a discrete risk model with delayed claims and a randomized dividend strategy

Cites Work

• Unnamed Item
• Ruin probabilities in the compound binomial model
• Compound binomial risk model in a Markovian environment
• On the discounted penalty function in a Markov-dependent risk model
• Discounted probabilities and ruin theory in the compound binomial model
• Some results on the compound Markov binomial model
• Ruin Probabilities in the Compound Markov Binomial Model

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