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
收藏
页码：764 / 779
页数：16
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