Estimation of the Lundberg coefficient for a Markov modulated risk model
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Publication:4248560
DOI10.1080/03461238.1997.10413977zbMath0926.62105OpenAlexW2031883823MaRDI QIDQ4248560
Publication date: 28 November 1999
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1997.10413977
Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)
Related Items (6)
Analysis of some ruin-related quantities in a Markov-modulated risk model ⋮ Constant barrier strategies in a two-state Markov-modulated dual risk model ⋮ Some state-specific exit probabilities in a Markov-modulated risk model ⋮ On the severity of ruin in a Markov-modulated risk model ⋮ Regime-Switching Periodic Models For Claim Counts ⋮ Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model
Cites Work
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- Empirical bounds for ruin probabilities
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- On the estimation of the adjustment coefficient in risk theory by means of stochastic approximation procedures
- Finite-time Lundberg inequalities in the Cox case
- Ruin probabilities expressed in terms of storage processes
- Almost sure convergence of the Hill estimator
- Exponential inequalities for ruin probabilities in the Cox case
- Lundberg inequalities for a Cox model with a piecewise constant intensity
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