Conditional Ruin Probability with a Markov Regime Switching Model

DOI10.1007/978-3-642-22833-9_35zbMath1269.91045OpenAlexW200403107MaRDI QIDQ2838672

Xuanhui Liu, Li-Ai Cui, Fang-Guo Ren

Publication date: 10 July 2013

Published in: Advances in Intelligent and Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-22833-9_35

zbMATH Keywords

regime switchingMarkov chainmartingaleinsuranceruin probabilityjump-diffusion model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (1)

ROBUST STABILITY, STABILISATION AND H-INFINITY CONTROL FOR PREMIUM-RESERVE MODELS IN A MARKOVIAN REGIME SWITCHING DISCRETE-TIME FRAMEWORK

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