A monotonically converging algorithm for the severity of ruin in a discrete semi-markov risk model

DOI10.1080/03461230410019024zbMath1101.60070OpenAlexW2047544000MaRDI QIDQ5467664

Jean-Marie Reinhard, Mohammed Snoussi

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1080/03461230410019024

zbMATH Keywords

ruin probabilityseverity of ruinstable algorithmrecursive calculationmonotonically converging algorithm

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Related Items

Compound binomial risk model in a Markovian environment

Cites Work

• Unnamed Item
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
• On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums
• Exact and approximate properties of the distribution of surplus before and after ruin
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Random walk on the semiaxis at the superposition of two renewal processes
• On the distribution of the size of a jump of given level for a sequence of maxima of random variables controlled by a Markov chain
• Bounds for the ruin probability under a markovian modulated risk model
• The severity of ruin in a discrete semi-Markov risk model
• On the Distribution of the Surplus Prior to Ruin in a Discrete Semi-Markov Risk Model
• On the distribution of the maximum of the difference of independent renewal processes with discrete time
• Boundary Problems for Sums of Lattice Random Variables, Defined on a Finite Regular Markov Chain
• A classification of a random walk defined on a finite Markov chain
• On the Time Value of Ruin