A Note on Ruin in a Two State Markov Model

DOI10.2143/AST.31.2.1010zbMath1098.60512OpenAlexW2098298663MaRDI QIDQ4661646

Christian Wagner

Publication date: 30 March 2005

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.31.2.1010

zbMATH Keywords

Markov chainruin probabilityruin time

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (4)

MEASURING THE IMPACT OF A BONUS-MALUS SYSTEM IN FINITE AND CONTINUOUS TIME RUIN PROBABILITIES FOR LARGE PORTFOLIOS IN MOTOR INSURANCE ⋮ Time in the red in a two state Markov model. ⋮ Discrete-time risk models with surplus-dependent premium corrections ⋮ Some results on the compound Markov binomial model

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