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https://hdl.handle.net/2440/71802
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Type: | Journal article |
Title: | Ruin theory in a hidden Markov-modulated risk model |
Author: | Elliott, R. Siu, T. Yang, H. |
Citation: | Stochastic Models, 2011; 27(3):474-489 |
Publisher: | Taylor & Francis Inc. |
Issue Date: | 2011 |
ISSN: | 1532-6349 1532-4214 |
Statement of Responsibility: | Robert J. Elliott, Tak Kuen Siu and Hailiang Yang |
Abstract: | We discuss ruin theory when the insurance risk process is described by a hidden Markov, regime-switching diffusion process. The innovations approach to filtering theory is used to transform the partially observed modeling framework into one with complete observations. (Robust) filters for the hidden states of the chain are given. A partial differential equation for the ruin probability is derived in the “filtered” model. |
Keywords: | Dirichlet problem filtering hidden Markovian regime-switching model innovations approach partial differential equation ruin probability |
Rights: | Copyright © Taylor & Francis Group, LLC |
DOI: | 10.1080/15326349.2011.593408 |
Published version: | http://dx.doi.org/10.1080/15326349.2011.593408 |
Appears in Collections: | Aurora harvest Mathematical Sciences publications |
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