Deficit distributions at ruin in a regime-switching Sparre Andersen model
-
Lesław Gajek
and
Marcin Rudź
Abstract
In this paper, we investigate deficit distributions at ruin in
a regime-switching Sparre Andersen model. A Markov chain is
assumed to switch the amount and/or respective wait time distributions of
claims while the insurer can adjust the premiums in response.
Special attention is paid to an operator
Funding statement: The research was supported by the National Science Centre, Poland (2014/13/B/HS4/03222).
Acknowledgements
The authors thank the reviewer for helpful comments.
References
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© 2018 Walter de Gruyter GmbH, Berlin/Boston
Articles in the same Issue
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Articles in the same Issue
- Frontmatter
- Deferred weighted 𝒜-statistical convergence based upon the (p,q)-Lagrange polynomials and its applications to approximation theorems
- Some variational principles associated with ODEs of maximal symmetry. Part 1: Equations in canonical form
- On the solutions and conservation laws of a two-dimensional Korteweg de Vries model: Multiple exp-function method
- Existence of solutions for nonlinear Schrödinger systems with periodic data perturbations
- Higher-order conditions for strict local Pareto minima for problems with partial order introduced by a polyhedral cone
- On some nonlinear hyperbolic p(x,t)-Laplacian equations
- Analysis of the embedded cell method in 1D for the numerical homogenization of metal-ceramic composite materials
- Approximately linear recurrences
- Existence and uniqueness of a problem in thermo-elasto-plasticity with phase transitions in TRIP steels under mixed boundary conditions
- Deficit distributions at ruin in a regime-switching Sparre Andersen model
- On some non-Gaussian wave packets
