Ruin probabilities in models with a Markov chain dependence structure

C. Constantinescu, D. Kortschak and V. Maume-Deschamps

Scandinavian Actuarial Journal, 2013, vol. 2013, issue 6, 453-476

Abstract: In this paper we derive explicit expressions for the probability of ruin in a renewal risk model with dependence among the increments (Zk)k>0. We study the case where the dependence structure among (Zk)k>0 is driven by a Markov chain with a transition kernel that can be described via ordinary differential equations with constant coefficients.

Date: 2013
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DOI: 10.1080/03461238.2011.627745

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