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A risk model with an observer in a Markov environment
Albrecher, Hansjörg; Ivanovs, Jevgenijs - In: Risks : open access journal 1 (2013) 3, pp. 148-161
We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment …
Persistent link: https://www.econbiz.de/10010338338
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Ruin probability approximations in sparre andersen models with completely monotone claims
Albrecher, Hansjörg; Vatamidou, Eleni - In: Risks : open access journal 7 (2019) 4/104, pp. 1-14
We consider the Sparre Andersen risk process with interclaim times that belong to the class of distributions with …
Persistent link: https://www.econbiz.de/10012127948