Ruin probabilities for risk process in a regime-switching environment
From MaRDI portal
Publication:5042780
DOI10.1080/03461238.2021.1998923zbMath1505.91337arXiv2106.06982OpenAlexW3213915784MaRDI QIDQ5042780
Publication date: 26 October 2022
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2106.06982
asymptoticscentral limit theoremchange of measuresubexponential distributionruin timecramér asymptotics
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Gerber-Shiu risk theory
- Occupation densities in solving exit problems for Markov additive processes and their reflections
- An insurance risk model with Parisian implementation delays
- A note on Veraverbeke's theorem
- Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
- Conditional Markov renewal theory. I. Finite and denumerable state space
- Cramér asymptotics for finite time first passage probabilities of general Lévy processes
- An asymptotic expression for the probability of ruin within finite time
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Renewal theory for functionals of a Markov chain with general state space
- Limit theorems for semi-Markov processes and renewal theory for Markov chains
- On the Markov renewal theorem
- Cramér's estimate for Lévy processes
- Parisian ruin probability for Markov additive risk processes
- A technique for exponential change of measure for Markov processes
- Lévy systems and the time value of ruin for Markov additive processes
- Parisian ruin probability for spectrally negative Lévy processes
- Real self-similar processes started from the origin
- Fluctuations of Lévy processes with applications. Introductory lectures
- Discrete and continuous time modulated random walks with heavy-tailed increments
- On the joint distribution of surplus before and after ruin under a Markovian regime switching model
- Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process
- The Theory of Scale Functions for Spectrally Negative Lévy Processes
- Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes
- On the tails of waiting-time distributions
- Asymptotics for the maximum of a modulated random walk with heavy-tailed increments
- A temporal approach to the Parisian risk model
- Applied Probability and Queues
- Risk theory in a Markovian environment
- An Introduction to Heavy-Tailed and Subexponential Distributions
- Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model
- Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
- Perturbed MAP Risk Models with Dividend Barrier Strategies
- The time to ruin for a class of Markov additive risk process with two-sided jumps
- Markov additive processes. I
- Applications of fluid flow matrix analytic methods in ruin theory —a review;Méetodos analíticos matriciales para flujos fluidos aplicados a la teoría de la ruina —una revisión
This page was built for publication: Ruin probabilities for risk process in a regime-switching environment
