Markovian risk process

DOI10.1007/S10483-007-0712-YzbMath1231.62188OpenAlexW2353421637MaRDI QIDQ940360

Fei Zhao, Yun-Zhi Yan, Da-Fan Fang, Han-xing Wang

Publication date: 1 September 2008

Published in: Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10483-007-0712-y

zbMATH Keywords

ruin probabilityMarkov jump process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05)

Related Items (1)

A Markov Risk Model with Two Classes of Insurance Business

Cites Work

• Unnamed Item
• Unnamed Item
• Ruin probabilities under a Markovian risk model
• Bounds for the ruin probability under a markovian modulated risk model
• Large deviations of heavy-tailed random sums with applications in insurance and finance
• Heavy-tailed modelling in insurance
• Risk theory in a Markovian environment
• Expansions for Markov-modulated systems and approximations of ruin probability

This page was built for publication: Markovian risk process