On a multi-dimensional risk model with regime switching

DOI10.1016/j.insmatheco.2016.03.003zbMath1369.91099OpenAlexW2300043038MaRDI QIDQ320264

Hailiang Yang, Guanqing Wang, Guo-jing Wang

Publication date: 6 October 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/231317

zbMATH Keywords

upper boundsregime switchingmodified Bessel functionCox processtime of ruincorrelated risk modeljoint ruin probabilitymulti-dimensional risk models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Continuous-time Markov processes on discrete state spaces (60J27)

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Banach contraction principle and ruin probabilities in regime-switching models, The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier, Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model, General methods for bounding multidimensional ruin probabilities in regime-switching models, A generalization of Gerber's inequality for ruin probabilities in risk-switching models, Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation, Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model, Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model

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