Ruin theory in a hidden Markov-modulated risk model | Macquarie University ResearchOnline

Home

Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/135675

53 Visitors

60 Hits

0 Downloads

Title: Ruin theory in a hidden Markov-modulated risk model
Related: Stochastic models, Vol. 27, Issue 3, (2011), p.474-489
DOI: 10.1080/15326349.2011.593408
Publisher: Taylor & Francis
Date: 2011
Author/Creator: Elliott, Robert J
Author/Creator: Siu, Tak Kuen
Author/Creator: Yang, Hailiang
Description: We discuss ruin theory when the insurance risk process is described by a hidden Markov, regime-switching diffusion process. The innovations approach to filtering theory is used to transform the partially observed modeling framework into one with complete observations. (Robust) filters for the hidden states of the chain are given. A partial differential equation for the ruin probability is derived in the filtered model.
Description: 16 page(s)
Subject Keyword: Dirichlet problem
Subject Keyword: Filtering
Subject Keyword: Hidden Markovian regime-switching model
Subject Keyword: Innovations approach
Subject Keyword: Partial differential equation
Subject Keyword: Ruin probability
Resource Type: journal article
Organisation: Macquarie University. Dept. of Applied Finance and Actuarial Studies

Macquarie University ResearchOnline