Risk theory in a Markovian environment

DOI10.1080/03461238.1989.10413858zbMath0684.62073OpenAlexW2149091841MaRDI QIDQ4734642

Soren Asmussen

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1080/03461238.1989.10413858

zbMATH Keywords

simulationapproximationsdiffusion approximationscorrection termsMarkov jump processruin probabilitiesCramér-Lundberg approximationrisk processesEsscher transformsPoisson arrival processconjugate distributionsMarkov- modulated random walksWiener-Hopf factorisation problems

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Markov processes (60J99) Probabilistic methods, stochastic differential equations (65C99)

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