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• W200403107 abstract "Ruin probabilities have been of a major interest in mathematical insurance. The diffusion process is used to the model of risk reserve of an insurance company usually. In this paper, we introduce a Markov chain and extend the Reserve processes to a jump-diffusion model and research the ruin probabilities. By using stochastic calculus techniques and the Martingale method a partial differential equation satisfied by the finite time horizon conditional ruin probability is obtained." @default.
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• W200403107 date "2011-01-01" @default.
• W200403107 modified "2023-09-26" @default.
• W200403107 title "Conditional Ruin Probability with a Markov Regime Switching Model" @default.
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• W200403107 doi "https://doi.org/10.1007/978-3-642-22833-9_35" @default.
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