Ruin Theory in a Hidden Markov-Modulated Risk Model

DOI10.1080/15326349.2011.593408zbMath1237.91127OpenAlexW1966693005MaRDI QIDQ3094231

Tak Kuen Siu, Robert J. Elliott, Hailiang Yang

Publication date: 21 October 2011

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2011.593408

zbMATH Keywords

Dirichlet problempartial differential equationfilteringruin probabilityinnovations approachhidden Markovian regime-switching model

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (6)

Hidden Markov models with threshold effects and their applications to oil price forecasting ⋮ Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model ⋮ On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income ⋮ Interplay of insurance and financial risks in a stochastic environment ⋮ Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application ⋮ Bayesian Dividend Optimization and Finite Time Ruin Probabilities

Cites Work

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• Functional Integration and Partial Differential Equations. (AM-109)
• Ruin theory with stochastic return on investments
• Risk theory in a Markovian environment
• Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated Risk Model
• Diffusion approximations in collective risk theory

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