Ruin probabilities for risk process in a regime-switching environment

Zbigniew Palmowski

Scandinavian Actuarial Journal, 2022, vol. 2022, issue 7, 565-590

Abstract: In this paper we give a few expressions and asymptotics of ruin probabilities for a Markov modulated risk process for various regimes of a time horizon, initial reserves and a claim size distribution. We also consider a few versions of the ruin time.

Date: 2022
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DOI: 10.1080/03461238.2021.1998923

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