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On a multi-dimensional risk model with regime switching

  • Published:2016-05 Issue: Volume:68 Page:73-83
  • ISSN:0167-6687
  • Container-title:Insurance: Mathematics and Economics
  • language:en
  • Short-container-title:Insurance: Mathematics and Economics

Author:

Wang Guanqing,Wang Guojing,Yang Hailiang

Funder

National Natural Science Foundation of China

Research Grants Council of the Hong Kong Special Administrative Region

Society of Actuarial CAE Research Grant

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference21 articles.

1. On the discounted penalty function in a Markov-dependent risk model;Albrecher;Insurance Math. Econom.,2005

2. Ruin probabilities and aggregate claims distributions for shot noise Cox processes;Albrecher;Scand. Actuar. J.,2006

3. Aggregate survival probability of a portfolio with dependent subportfolios;Ambagaspitiya;Insurance Math. Econom.,2003

4. Ruin Probabilities;Asmussen,2010

5. Some results on the ruin probability in a two-dimensional risk model;Chan;Insurance Math. Econom.,2003

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