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- W2164403204 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." @default.
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- W2164403204 date "2007-03-01" @default.
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- W2164403204 title "Markov-modulated diffusion risk models" @default.
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- W2164403204 doi "https://doi.org/10.1080/03461230601069528" @default.
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