Risk theory in a Markovian environment
type: Item
instance of: scholarly article
title: Risk theory in a Markovian environment
zbMATH Open document ID: 0684.62073
DOI: 10.1080/03461238.1989.10413858
published in: Scandinavian Actuarial Journal
publication date: 1989-01-01T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60J99
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 4121261
zbMATH Keywords: risk processes
zbMATH Keywords: Poisson arrival process
zbMATH Keywords: Markov jump process
zbMATH Keywords: approximations
zbMATH Keywords: simulation
zbMATH Keywords: ruin probabilities
zbMATH Keywords: Cramér-Lundberg approximation
zbMATH Keywords: diffusion approximations
zbMATH Keywords: correction terms
zbMATH Keywords: Markov- modulated random walks
zbMATH Keywords: Wiener-Hopf factorisation problems
zbMATH Keywords: conjugate distributions
zbMATH Keywords: Esscher transforms
author: Søren Asmussen
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/03461238.1989.10413858
OpenAlex ID: W2149091841
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description: scientific article; zbMATH DE number 4121261