Discrete time homogeneous Markov processes for the study of the basic risk processes

DOI10.1007/s11009-014-9416-5zbMath1330.60088OpenAlexW1988065277MaRDI QIDQ905234

Fulvio Gismondi, Raimondo Manca, Guglielmo D'Amico, Jacques Janssen

Publication date: 14 January 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-014-9416-5

zbMATH Keywords

Markov chainshomogeneityaggregate claim amount processclaim numberreward processes

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Financial applications of other theories (91G80)

Related Items (3)

Reliability and survival analysis for drifting Markov models: modeling and estimation ⋮ Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits ⋮ The study of basic risk processes by discrete-time non-homogeneous Markov processes

Uses Software

• QRM

Cites Work

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• Risk theory in a Markovian environment
• Risk-Sensitive Markov Decision Processes
• Risk-Sensitive Optimal Control for Markov Decision Processes with Monotone Cost
• Applied Semi-Markov Processes
• Mathematical Finance

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