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Scandinavian Actuarial Journal Volume 1997, 1997 - Issue 1
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Original article

Estimation of the Lundberg coefficient for a Markov modulated risk model

Hanspeter Schmidli Department of Theoretical Statistics and Operations Research, University of Aarhus, Ny Munkegade DK-8000 Aarhus C, DenmarkView further author information
Pages 48-57 | Received 29 Mar 1995, Published online: 22 Dec 2011

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Jingchao Li, David C. M. Dickson & Shuanming Li. (2016) Analysis of some ruin-related quantities in a Markov-modulated risk model. Stochastic Models 32:3, pages 351-365.
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Shuanming Li & Yi Lu. (2007) Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model. North American Actuarial Journal 11:2, pages 65-76.
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Yi Lu & José Garrido. (2006) Regime-Switching Periodic Models For Claim Counts. North American Actuarial Journal 10:4, pages 235-248.
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Yi Lu. (2006) On the severity of ruin in a Markov-modulated risk model. Scandinavian Actuarial Journal 2006:4, pages 183-202.
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J. M. Reinhard & M. Snoussi. (2002) The severity of ruin in a discrete semi-Markov risk model. Stochastic Models 18:1, pages 85-107.
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Articles from other publishers (8)

Jingchao Li & Shuanming Li. (2020) Some State-Specific Exit Probabilities in a Markov-Modulated Risk Model. Mathematical Problems in Engineering 2020, pages 1-10.
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. 2016. Ruin Probabilities. Ruin Probabilities 239 253 .
Susan M. Pitts. 2014. Wiley StatsRef: Statistics Reference Online. Wiley StatsRef: Statistics Reference Online.
Xue-min Ma, Kui Luo, Guang-ming Wang & Yi-jun Hu. (2011) Constant barrier strategies in a two-state Markov-modulated dual risk model. Acta Mathematicae Applicatae Sinica, English Series 27:4, pages 679-690.
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Shuanming Li & Yi Lu. (2015) The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model. ASTIN Bulletin 38:1, pages 53-71.
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Shuanming Li & Yi Lu. (2015) The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model. ASTIN Bulletin 38:1, pages 53-71.
Crossref
Susan M. Pitts. 2004. Encyclopedia of Actuarial Science. Encyclopedia of Actuarial Science.
Tomasz Rolski, Hanspeter Schmidli, Volker Schmidt & Jozef Teugels. 1999. Stochastic Processes for Insurance & Finance. Stochastic Processes for Insurance & Finance 617 638 .

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