Ruin Probabilities for Risk Process in a Regime Switching Environment
Probability
2021-10-05 v2
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.
Keywords
Cite
@article{arxiv.2106.06982,
title = {Ruin Probabilities for Risk Process in a Regime Switching Environment},
author = {Zbigniew Palmowski},
journal= {arXiv preprint arXiv:2106.06982},
year = {2021}
}