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On the probability of ruin in a Markov-modulated risk model

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  • Lu, Yi
  • Li, Shuanming

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  • Lu, Yi & Li, Shuanming, 2005. "On the probability of ruin in a Markov-modulated risk model," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 522-532, December.
    • Handle: RePEc:eee:insuma:v:37:y:2005:i:3:p:522-532
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    References listed on IDEAS

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    1. repec:cup:astinb:v:25:y:1995:i:01:p:49-66_00 is not listed on IDEAS
    2. Bauerle, Nicole, 1996. "Some results about the expected ruin time in Markov-modulated risk models," Insurance: Mathematics and Economics, Elsevier, vol. 18(2), pages 119-127, July.
    3. repec:cup:astinb:v:14:y:1984:i:01:p:23-43_00 is not listed on IDEAS
    4. J.M. Reinhard, & Snoussi, M., 2001. "On the Distribution of the Surplus Prior to Ruin in a Discrete Semi-Markov Risk Model," ASTIN Bulletin, Cambridge University Press, vol. 31(2), pages 255-273, November.
    5. Jasiulewicz, Helena, 2001. "Probability of ruin with variable premium rate in a Markovian environment," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 291-296, October.
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    Cited by:

    1. Zhu, Jinxia & Yang, Hailiang, 2008. "Ruin theory for a Markov regime-switching model under a threshold dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 311-318, February.
    2. Yujuan Huang & Wenguang Yu, 2013. "Studies on a Double Poisson-Geometric Insurance Risk Model with Interference," Discrete Dynamics in Nature and Society, Hindawi, vol. 2013, pages 1-8, April.
    3. Xin Zhang, 2008. "On the Ruin Problem in a Markov-Modulated Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 10(2), pages 225-238, June.
    4. Boudreault, Mathieu & Cossette, Hélène & Marceau, Étienne, 2014. "Risk models with dependence between claim occurrences and severities for Atlantic hurricanes," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 123-132.
    5. F. Baltazar-Larios & Luz Judith R. Esparza, 2022. "Statistical Inference for Partially Observed Markov-Modulated Diffusion Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 571-593, June.
    6. Shao, Jia & Papaioannou, Apostolos D. & Pantelous, Athanasios A., 2017. "Pricing and simulating catastrophe risk bonds in a Markov-dependent environment," Applied Mathematics and Computation, Elsevier, vol. 309(C), pages 68-84.
    7. Wang, Zijia & Landriault, David & Li, Shu, 2021. "An insurance risk process with a generalized income process: A solvency analysis," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 133-146.
    8. Ivanovs, Jevgenijs & Boxma, Onno & Mandjes, Michel, 2010. "Singularities of the matrix exponent of a Markov additive process with one-sided jumps," Stochastic Processes and their Applications, Elsevier, vol. 120(9), pages 1776-1794, August.
    9. Moussa Kounta & Nathan J. Dawson, 2021. "Linear Quadratic Gaussian Homing for Markov Processes with Regime Switching and Applications to Controlled Population Growth/Decay," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 1155-1172, September.
    10. Wang, Guanqing & Wang, Guojing & Yang, Hailiang, 2016. "On a multi-dimensional risk model with regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 73-83.
    11. Chen, Mi & Yuen, Kam Chuen & Guo, Junyi, 2014. "Survival probabilities in a discrete semi-Markov risk model," Applied Mathematics and Computation, Elsevier, vol. 232(C), pages 205-215.
    12. Hyunjoo Yoo & Bara Kim & Jeongsim Kim & Jiwook Jang, 2020. "Transform approach for discounted aggregate claims in a risk model with descendant claims," Annals of Operations Research, Springer, vol. 293(1), pages 175-192, October.
    13. Sotomayor, Luz R. & Cadenillas, Abel, 2011. "Classical and singular stochastic control for the optimal dividend policy when there is regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 344-354, May.
    14. Jingchao Li & Bihao Su & Zhenghong Wei & Ciyu Nie, 2022. "A Multinomial Approximation Approach for the Finite Time Survival Probability Under the Markov-modulated Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 2169-2194, September.

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