General methods for bounding multidimensional ruin probabilities in regime-switching models

DOI10.1080/17442508.2020.1801684zbMath1496.60090OpenAlexW3084121512MaRDI QIDQ5086703

Lestaw Gajek, Marcin Rudź

Publication date: 7 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2020.1801684

zbMATH Keywords

Markov chainstwo-sided boundsregime-switching modelsmultidimensional risk operatorsmultidimensional ruin probabilities

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Actuarial mathematics (91G05)

Related Items (1)

An efficient algorithm for pricing reinsurance contract under the regime-switching model

Cites Work

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