In:
Journal of Applied Probability, Cambridge University Press (CUP), Vol. 33, No. 01 ( 1996-03), p. 196-210
Abstract:
A Cox risk process with a piecewise constant intensity is considered where the sequence ( L i ) of successive levels of the intensity forms a Markov chain. The duration σ i of the level L i is assumed to be only dependent via L i . In the small-claim case a Lundberg inequality is obtained via a martingale approach. It is shown furthermore by a Lundberg bound from below that the resulting adjustment coefficient gives the best possible exponential bound for the ruin probability. In the case where the stationary distribution of L i contains a discrete component, a Cramér–Lundberg approximation can be obtained. By way of example we consider the independent jump intensity model (Björk and Grandell 1988) and the risk model in a Markovian environment (Asmussen 1989).
Type of Medium:
Online Resource
ISSN:
0021-9002
,
1475-6072
DOI:
10.1017/S0021900200103857
Language:
English
Publisher:
Cambridge University Press (CUP)
Publication Date:
1996
detail.hit.zdb_id:
1474599-9
detail.hit.zdb_id:
219147-7
SSG:
3,2
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