Asymptotics and Approximations of Ruin Probabilities for Multivariate Risk Processes in a Markovian Environment

G. A. Delsing (), M. R. H. Mandjes, P. J. C. Spreij and E. M. M. Winands
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G. A. Delsing: University of Amsterdam
M. R. H. Mandjes: University of Amsterdam
P. J. C. Spreij: University of Amsterdam
E. M. M. Winands: University of Amsterdam

Methodology and Computing in Applied Probability, 2020, vol. 22, issue 3, 927-948

Abstract: Abstract This paper develops asymptotics and approximations for ruin probabilities in a multivariate risk setting. We consider a model in which the individual reserve processes are driven by a common Markovian environmental process. We subsequently consider a regime in which the claim arrival intensity and transition rates of the environmental process are jointly sped up, and one in which there is (with overwhelming probability) maximally one transition of the environmental process in the time interval considered. The approximations are extensively tested in a series of numerical experiments.

Keywords: Ruin probability; Insurance risk; Markov processes; Approximations; Multi-dimensional risk process; 91B30 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11009-019-09742-4

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