On the probability of ruin in a Markov-modulated risk model

By Yi Lu, Shuanming Li. 2005

65 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/19433a91591d16f2eea99249e7f994770d3dfeb1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Robert J. R. Elliott
2. Yi Lu
3. Shuanming Li
4. Tak Kuen Siu
5. Guang-Hua Lian
6. Christiane Lemieux
7. George Yin
8. Samuel N. Cohen

In Finance

1. Tak Kuen Siu
2. Robert J. R. Elliott
3. Yi Lu
4. Shuanming Li
5. Guang-Hua Lian
6. Kristina P. Pavlova
7. Samuel N. Cohen
8. Christiane Lemieux

In Management Science and Operations Research

1. Yi Lu
2. Shuanming Li
3. Robert J. R. Elliott
4. Tak Kuen Siu
5. Kristina P. Pavlova
6. Gordon E. Willmot
7. Samuel N. Cohen
8. Hélène Cossette

Citations in the corpus

• A stochastic differential game for optimal investment of an insurer with regime switching (2011, background): “In risk theory, Markov, regime-switching, surplus models have been studied by several authors, for example Rabehasaina and Sericola ( 2004 ), Lu and Li ( 2005 ), and others.”
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model (2008, background): “…state is i, and correspondingly Fi(u) = 1 – Ci (u) is the non-ruin probability given that the initial state is i. Models of this type have also been investigated by some authors, e.g., Reinhard (1984), Bäuerle (1996), Schmidli (1997), Wu (1999), Snoussi (2002), Lu and Li (2005), and Lu (2006).”