Ruin probabilities in models with a Markov chain dependence structure

被引：9
|
作者：
Constantinescu, C. [1 ]
Kortschak, D. [1 ]
Maume-Deschamps, V. [1 ,2 ]
机构：
[1] Univ Lausanne, Fac HEC, Dept Actuarial Sci, CH-1015 Lausanne, Switzerland
[2] Univ Lyon 1, Lab SAF, ISFA, EA 2429, F-69007 Lyon, France
来源：
SCANDINAVIAN ACTUARIAL JOURNAL | 2013年 / 2013卷 / 06期
基金：
瑞士国家科学基金会;
关键词：
ruin probability; dependence; Markov chain; random walk; rational Laplace transform; ordinary differential equation with constant coefficients; DISCOUNTED PENALTY-FUNCTION; RISK; DISTRIBUTIONS; TIMES;
D O I：
10.1080/03461238.2011.627745
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this paper we derive explicit expressions for the probability of ruin in a renewal risk model with dependence among the increments (Z(k))(k>0). We study the case where the dependence structure among (Z(k))(k>0) is driven by a Markov chain with a transition kernel that can be described via ordinary differential equations with constant coefficients.
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页码：453 / 476
页数：24
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