Bounds of ruin probability for regime-switching models using time scale separation

DOI10.1080/03461230600768807zbMath1129.91028OpenAlexW2107257520MaRDI QIDQ3440848

Hailiang Yang, Yuanjin Liu, G. George Yin

Publication date: 29 May 2007

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

Full work available at URL: https://doi.org/10.1080/03461230600768807

zbMATH Keywords

Markov chainregime-switching modelstime scale separationtwo-time scalebounds of ruin probability

Mathematics Subject Classification ID

Related Items (3)

Upper bound for finite-time ruin probability in a Markov-modulated market ⋮ Balanced realizations of regime-switching linear systems ⋮ Feynman–Kac formulas for regime-switching jump diffusions and their applications

Cites Work

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• AMERICAN OPTIONS WITH REGIME SWITCHING
• On nearly optimal controls of hybrid LQG problems
• Stability of hybrid dynamic systems containing singularly perturbed random processes
• A Regime-Switching Model of Long-Term Stock Returns
• Aggregation of Variables in Dynamic Systems

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