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Article: Bounds of Ruin Probability for Regime-switching Models Using Time Scale Separation

TitleBounds of Ruin Probability for Regime-switching Models Using Time Scale Separation
Authors
KeywordsMarkov chain
Ruin probability
Two-time scale
Issue Date2006
PublisherTaylor & Francis Scandinavia. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.asp
Citation
Scandinavian Actuarial Journal, 2006, v. 2006 n. 2, p. 111-127 How to Cite?
AbstractThis paper is concerned with regime-switching insurance risk models. The regime-switching is modeled by a continuous-time Markov chain. Owing to various modeling considerations, the state space is likely to be very large. A two-time-scale formulation is used to reduce the complexity. Under simple conditions, limits of ultimate survival probabilities and ultimate ruin probabilities are obtained. These results reveal that, for example, as a decision maker, one may ignore the detailed variations, and use the limit ultimate ruin probabilities to approximate that of the actual ones. Moreover, the differences of the original and limit ruin probabilities are examined. Error bounds are developed.
Persistent Identifierhttp://hdl.handle.net/10722/224451
ISSN
2015 Impact Factor: 1.596
2015 SCImago Journal Rankings: 0.956

 

DC FieldValueLanguage
dc.contributor.authorYin, G-
dc.contributor.authorLiu, YJ-
dc.contributor.authorYang, H-
dc.date.accessioned2016-04-05T08:26:46Z-
dc.date.available2016-04-05T08:26:46Z-
dc.date.issued2006-
dc.identifier.citationScandinavian Actuarial Journal, 2006, v. 2006 n. 2, p. 111-127-
dc.identifier.issn0346-1238-
dc.identifier.urihttp://hdl.handle.net/10722/224451-
dc.description.abstractThis paper is concerned with regime-switching insurance risk models. The regime-switching is modeled by a continuous-time Markov chain. Owing to various modeling considerations, the state space is likely to be very large. A two-time-scale formulation is used to reduce the complexity. Under simple conditions, limits of ultimate survival probabilities and ultimate ruin probabilities are obtained. These results reveal that, for example, as a decision maker, one may ignore the detailed variations, and use the limit ultimate ruin probabilities to approximate that of the actual ones. Moreover, the differences of the original and limit ruin probabilities are examined. Error bounds are developed.-
dc.languageeng-
dc.publisherTaylor & Francis Scandinavia. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/03461238.asp-
dc.relation.ispartofScandinavian Actuarial Journal-
dc.rightsPREPRINT This is a preprint of an article whose final and definitive form has been published in the [JOURNAL TITLE] [year of publication] [copyright Taylor & Francis]; [JOURNAL TITLE] is available online at: http://www.informaworld.com/smpp/ with the open URL of your article POSTPRINT This is an Accepted Manuscript of an article published by Taylor & Francis in [JOURNAL TITLE] on [date of publication], available online: http://wwww.tandfonline.com/[Article DOI]-
dc.subjectMarkov chain-
dc.subjectRuin probability-
dc.subjectTwo-time scale-
dc.titleBounds of Ruin Probability for Regime-switching Models Using Time Scale Separation-
dc.typeArticle-
dc.identifier.emailYang, H: hlyang@hkusua.hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.identifier.doi10.1080/03461230600768807-
dc.identifier.hkuros118248-
dc.identifier.hkuros127045-
dc.identifier.volume2006-
dc.identifier.issue2-
dc.identifier.spage111-
dc.identifier.epage127-
dc.publisher.placeSweden-

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