Ruin Probabilities for Risk Process in a Regime Switching Environment (2106.06982v2)

Published 13 Jun 2021 in math.PR

Abstract: In this paper we give few expressions and asymptotics of ruin probabilities for a Markov modulated risk process for various regimes of a time horizon, initial reserves and a claim size distribution. We also consider few versions of the ruin time.

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Authors (1)

Zbigniew Palmowski

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