Ruin probabilities in models with a Markov chain dependence structure

DOI10.1080/03461238.2011.627745zbMath1286.91065OpenAlexW2115640472MaRDI QIDQ2868616

Corina Constantinescu, Véronique Maume-Deschamps, Dominik Kortschak

Publication date: 17 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2011.627745

zbMATH Keywords

Markov chainrandom walkruin probabilitymatrix exponential distributiondependence

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stochastic models in economics (91B70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov renewal processes, semi-Markov processes (60K15)

Related Items (7)

Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk ⋮ Ruin probability for finite Erlang mixture claims via recurrence sequences ⋮ Queues and Risk Processes with Dependencies ⋮ Ruin probabilities in classical risk models with gamma claims ⋮ Ruin probabilities as functions of the roots of a polynomial ⋮ A ruin model with a resampled environment ⋮ A transient Cramér–Lundberg model with applications to credit risk

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