A Multinomial Approximation Approach for the Finite Time Survival Probability Under the Markov-modulated Risk Model

2021 ◽  
Author(s):  
Jingchao Li ◽  
Bihao Su ◽  
Zhenghong Wei ◽  
Ciyu Nie
Keyword(s):  
Survival Probability ◽  
Finite Time ◽  
Risk Model ◽  
Approximation Approach ◽  
Finite Time Survival Probability ◽  
Markov Modulated

scholarly journals Ruin problems in Markov-modulated risk models

2017 ◽  
Vol 12 (1) ◽  
pp. 23-48 ◽  
Author(s):  
David C.M. Dickson ◽  
Marjan Qazvini
Keyword(s):  
Continuous Time ◽  
Risk Model ◽  
Numerical Algorithms ◽  
Binomial Model ◽  
Risk Models ◽  
Time Of Ruin ◽  
Compound Binomial ◽  
Compound Binomial Model ◽  
Markov Modulated ◽  
The Time Of Ruin

AbstractChen et al. (2014), studied a discrete semi-Markov risk model that covers existing risk models such as the compound binomial model and the compound Markov binomial model. We consider their model and build numerical algorithms that provide approximations to the probability of ultimate ruin and the probability and severity of ruin in a continuous time two-state Markov-modulated risk model. We then study the finite time ruin probability for a discrete m-state model and show how we can approximate the density of the time of ruin in a continuous time Markov-modulated model with more than two states.

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