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• W2149091841 startingPage "69" @default.
• W2149091841 abstract "Abstract We consider risk processes t t⩾0 with the property that the rate β of the Poisson arrival process and the distribution of B of the claim sizes are not fixed in time but depend on the state of an underlying Markov jump process {Zt } t⩾0 such that β=β i and B=Bi when Zt=i . A variety of methods, including approximations, simulation and numerical methods, for assessing the values of the ruin probabilities are studied and in particular we look at the Cramér-Lundberg approximation and diffusion approximations with correction terms. The mathematical framework is Markov-modulated random walks in discrete and continuous time, and in particular Wiener-Hopf factorisation problems and conjugate distributions (Esscher transforms) are involved." @default.
• W2149091841 created "2016-06-24" @default.
• W2149091841 creator A5069529674 @default.
• W2149091841 date "1989-05-01" @default.
• W2149091841 modified "2023-10-16" @default.
• W2149091841 title "Risk theory in a Markovian environment" @default.
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• W2149091841 doi "https://doi.org/10.1080/03461238.1989.10413858" @default.
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