Markov-modulated diffusion risk models

DOI10.1080/03461230601069528zbMath1144.91023OpenAlexW2164403204MaRDI QIDQ5430569

Mirko Kötter, Nicole Bäuerle

Publication date: 16 December 2007

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

Full work available at URL: https://publikationen.bibliothek.kit.edu/1000012930/3271153

zbMATH Keywords

diffusion approximationruin probabilityadjustment coefficientstochastic orderings

Mathematics Subject Classification ID

Related Items (8)

Statistical inference for partially observed Markov-modulated diffusion risk model ⋮ On Itô's formula for semimartingales with jumps and non-\(\mathcal{C}^2\) functions ⋮ On the functional and local limit theorems for Markov modulated compound Poisson processes ⋮ On optimal proportional reinsurance and investment in a Markovian regime-switching economy ⋮ Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment ⋮ Bayesian Estimation for the Markov-Modulated Diffusion Risk Model ⋮ Option pricing model based on a Markov-modulated diffusion with jumps ⋮ When does surplus reach a given target before ruin in the Markov-modulated diffusion model?

Cites Work

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• Weak convergence approach to compound Poisson risk processes perturbed by diffusion
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• On the Tail of the Waiting Time in a Markov-Modulated M/G/1 Queue
• Exponential inequalities for ruin probabilities in the Cox case
• A class of approximations of ruin probabilities
• A remark on ‘A class of approximations of ruin probabilities’
• Risk theory in a Markovian environment
• Traditional versus non-traditional reinsurance in a dynamic setting

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