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