Ruin problems in a discrete Markov risk model
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Publication:2518946
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
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
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- 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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