Ruin theory in a hidden Markov-modulated risk model
Date
2011
Authors
Elliott, R.
Siu, T.
Yang, H.
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Journal article
Citation
Stochastic Models, 2011; 27(3):474-489
Statement of Responsibility
Robert J. Elliott, Tak Kuen Siu and Hailiang Yang
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Abstract
We discuss ruin theory when the insurance risk process is described by a hidden Markov, regime-switching diffusion process. The innovations approach to filtering theory is used to transform the partially observed modeling framework into one with complete observations. (Robust) filters for the hidden states of the chain are given. A partial differential equation for the ruin probability is derived in the “filtered” model.
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