Ruin probabilities in models with a Markov chain dependence structure

Author： Constantinescu C.   Kortschak D.   Maume-Deschamps V.  

Publisher： Taylor & Francis Ltd

ISSN： 0346-1238

Source： Scandinavian Actuarial Journal, Vol.2013, Iss.6, 2013-11, pp. : 453-476

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Abstract

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

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