General methods for bounding multidimensional ruin probabilities in regime-switching models

被引：3

作者：

Gajek, Leslaw ^{[1
]}

Rudz, Marcin ^{[1
]}

机构：

[1] Lodz Univ Technol, Inst Math, Lodz, Poland

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2021年 / 93卷 / 05期

关键词：

Multidimensional risk operators; regime-switching models; Markov chains; multidimensional ruin probabilities; two-sided bounds; RENEWAL RISK MODEL; UNIFORM ASYMPTOTICS; INVESTMENT;

D O I：

10.1080/17442508.2020.1801684

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We present a universal methodology for bounding multidimensional ultimate ruin probabilities Psi in regime-switching models. Some new lower and upper bounds on Psi are given. The considered methods are applicable to several discrete- and continuous time risk models. As an example, we construct a variety of new two-sided operator bounds which converge to Psi with an exponential rate. Several numerical examples are also provided.

引用

页码：764 / 779

页数：16

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[3]

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