A risk model with an observer in a Markov environment

Détails

Ressource 1Télécharger: BIB_07934B6E1EC0.P001.pdf (344.40 [Ko])
Etat: Serval
Version: de l'auteur
ID Serval
serval:BIB_07934B6E1EC0
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
A risk model with an observer in a Markov environment
Périodique
Risks
Auteur(s)
Albrecher H., Ivanovs J.
ISSN
2227-9091
Statut éditorial
Publié
Date de publication
11/2013
Peer-reviewed
Oui
Volume
1
Numéro
3
Pages
148-161
Langue
anglais
Résumé
We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment. Following recent interest in alternative ruin concepts, we assume that ruin occurs when an independent Poissonian observer sees the process as negative, where the observation rate may depend on the state of the environment. Using an approximation argument and spectral theory, we establish an explicit formula for the resulting survival probabilities in this general setting. We also discuss an efficient evaluation of the involved quantities and provide a numerical illustration.
Mots-clé
Markov additive process, level-crossing probabilities, Poissonian observation, ruin probability, occupation times
Création de la notice
05/11/2013 16:25
Dernière modification de la notice
03/03/2018 13:28
Données d'usage