A Risk Model with an Observer in a Markov Environment

@inproceedings{Albrecher2013ARM,
  title={A Risk Model with an Observer in a Markov Environment},
  author={Hansj{\"o}rg Albrecher and Jevgenijs Ivanovs},
  year={2013}
}
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… CONTINUE READING

From This Paper

Figures, tables, results, connections, and topics extracted from this paper.
2 Extracted Citations
23 Extracted References
Similar Papers

Citing Papers

Publications influenced by this paper.

Referenced Papers

Publications referenced by this paper.
Showing 1-10 of 23 references

Ruin Probabilities, 2nd ed.

  • S. Asmussen, H. Albrecher
  • Advanced Series on Statistical Science & Applied…
  • 2010
Highly Influential
3 Excerpts

A note on killing with applications in risk theory

  • J. Ivanovs
  • Insur. Math. Econ
  • 2013
1 Excerpt

From ruin to bankruptcy for compound Poisson surplus processes

  • H. Albrecher, V. Lautscham
  • Astin Bull. 2013,
  • 2013
1 Excerpt

Randomized observation times for the compound Poisson risk model: The discounted penalty function

  • H. Albrecher, E.C.K. Cheung, S. Thonhauser
  • Scand. Act. J. 2013,
  • 2013
3 Excerpts

Occupation densities in solving exit problems for Markov additive processes and their reflections

  • J. Ivanovs, Z. Palmowski
  • Stoch. Process. Appl
  • 2012
2 Excerpts

Occupation times of spectrally negative Lévy processes with applications

  • D. Landriault, J. F. Renaud, X. Zhou
  • Stoch. Process. Appl. 2011,
  • 2011
2 Excerpts

One-Sided Markov Additive Processes and Related Exit Problems

  • J. Ivanovs
  • Ph.D. Dissertation,
  • 2011
1 Excerpt

Similar Papers

Loading similar papers…