Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated Risk Model

DOI10.2143/AST.35.2.2003457zbMath1101.62102OpenAlexW4248930946MaRDI QIDQ5490597

Hailiang Yang, Andrew Cheuk-Yin Ng

Publication date: 4 October 2006

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.35.2.2003457

zbMATH Keywords

exponential martingalechange of probability measureLundberg-type bounds

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) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (4)

Tail bounds for the joint distribution of the surplus prior to and at ruin ⋮ Ruin theory for a Markov regime-switching model under a threshold dividend strategy ⋮ Authors’ Reply: Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately before and at Ruin under the Sparre Andersen Model,” Andrew C. Y. Ng and Hailiang Yang, April 2005 - Discussion by David C. M. Dickson, Steve Drekic, David A. Stanford, and Gordon E. Willmot ⋮ Ruin Theory in a Hidden Markov-Modulated Risk Model

Cites Work

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• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Simple approximations of ruin probabilities
• Applied Probability and Queues
• Risk theory in a Markovian environment
• On the Distribution of the Surplus Prior and at Ruin
• The Time Value of Ruin in a Sparre Andersen Model

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