Analysis of some ruin-related quantities in a Markov-modulated risk model
Work
Year: 2016
Type: article
Abstract: ABSTRACTIn this paper, we study the joint Laplace transform and probability generating function of some random quantities that occur in each environment state by the time of ruin in a Markov-modulated... more
Source: Stochastic Models
Authors Jingchao Li, David Dickson, Shuanming Li
Institutions Shenzhen University, The University of Melbourne
Cites: 23
Cited by: 7
Related to: 10
FWCI: 0.548
Citation percentile (by year/subfield): 72.73
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Sustainable Development Goal Sustainable cities and communities
Open Access status: green