Markov-modulated Diffusion Risk Models

Abstract

In this paper we consider Markov-modulated diffusion risk reserve processes. Using diffusion approximation we show the relation to classical Markov-modulated risk reserve processes. In particular we derive a representation for the adjustment coefficient and prove some comparison results. Among others we show that increasing the volatility of the diffusion increases the probability of ruin.

Cite this paper

@inproceedings{Buerle2006MarkovmodulatedDR, title={Markov-modulated Diffusion Risk Models}, author={Nicole B{\"a}uerle and Mirko K{\"{o}tter}, year={2006} }