Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103601
Authors: 
Albrecher, Hansjörg
Ivanovs, Jevgenijs
Year of Publication: 
2013
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Publisher:] MDPI [Place:] Basel [Volume:] 1 [Year:] 2013 [Issue:] 3 [Pages:] 148-161
Abstract: 
We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment. Following recent interest in alternative ruin concepts, we assume that ruin occurs when an independent Poissonian observer sees the process as negative, where the observation rate may depend on the state of the environment. Using an approximation argument and spectral theory, we establish an explicit formula for the resulting survival probabilities in this general setting. We also discuss an efficient evaluation of the involved quantities and provide a numerical illustration.
Subjects: 
Markov additive process
level-crossing probabilities
Poissonian observation
ruin probability
occupation times
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Article
Appears in Collections:

Files in This Item:
File
Size
310.99 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.