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URN: urn:nbn:de:swb:90-129302
Originalveröffentlichung
DOI: 10.1080/03461230601069528

Markov-modulated diffusion risk models

Bäuerle, Nicole; Kötter, Mirko

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.


Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Zeitschriftenaufsatz
Jahr 2007
Sprache Englisch
Identifikator ISSN: 0346-1238

KITopen-ID: 1000012930
Erschienen in Scandinavian Actuarial Journal
Heft 1
Seiten 34-52
Schlagworte Ruin probability; Adjustment coefficient; Diffusion approximation; Stochastic orderings
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