Ruin theory under a generalized jump-diffusion model with regime switching | Macquarie University ResearchOnline

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Title: Ruin theory under a generalized jump-diffusion model with regime switching
Related: Applied mathematical sciences, Vol. 2, Issue 29, (2008), p.1415-1430
Publisher: Springer New York LLC
Date: 2008
Author/Creator: Siu, Tak Kuen
Author/Creator: Lau, John W
Author/Creator: Yang, Hailiang
Description: We investigate the ruin probability when the surplus process is governed by a generalized perturbed risk model with a Markov-switching compensator. We suppose that the jump component of the perturbed risk model is specified by a completely random measure process with the compensator switching over time according to the states of an economy described by a continuous-time hidden Markov chain model. Accordingly, we assume that the force of interest, the rate of premium and the diffusion volatility rate switch over time according to the states of the economy. A simulation experiment will be conducted.
Description: 16 page(s)
Subject Keyword: 010200 Applied Mathematics
Subject Keyword: Ruin probability
Subject Keyword: Perturbed risk model
Subject Keyword: Completely random measure process
Subject Keyword: Markov-switching compensator
Subject Keyword: Hidden Markov chain process
Resource Type: journal article
Organisation: Macquarie University. Dept. of Actuarial Studies

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