
Add to Quick Collection
Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/137376
195 Visitors
283 Hits
0 Downloads
- 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
- 150200 Banking, Finance and Investment
- 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. Department of Actuarial Studies
- Identifier
- http://hdl.handle.net/1959.14/137376
- Identifier
- mq:15038
- Identifier
- ISSN:1312-885X
- Identifier
- mq-rm-2009000252
- Language
- eng
- Reviewed
