Markov-modulated diffusion risk models
Bäuerle, Nicole
; Kötter, Mirko
; Kötter, MirkoAbstract:
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.
| Zugehörige Institution(en) am KIT | Institut für Stochastik (STOCH) |
| Publikationstyp | Zeitschriftenaufsatz |
| Publikationsjahr | 2007 |
| Sprache | Englisch |
| Identifikator | ISSN: 0346-1238 urn:nbn:de:swb:90-129302 KITopen-ID: 1000012930 |
| Erschienen in | Scandinavian Actuarial Journal |
| Verlag | Routledge |
| Heft | 1 |
| Seiten | 34-52 |
| Schlagwörter | Ruin probability; Adjustment coefficient; Diffusion approximation; Stochastic orderings |
| Nachgewiesen in | Dimensions |