Gambler's ruin problem in a Markov-modulated jump-diffusion risk model
Gambler's ruin problem in a Markov-modulated jump-diffusion risk model
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Author / Creator
Publisher
Taylor & Francis
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English
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Taylor & Francis
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Contents
When an insurance company's risk reserve is governed by a Markov-modulated jump-diffusion risk model, we study gambler's ruin problem in terms of two-sided ruin probability that the insurance company shall be ruined before its risk reserve reaches an upper barrier level
. We employ Banach contraction principle and q-scale functions to confirm th...
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Gambler's ruin problem in a Markov-modulated jump-diffusion risk model
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TN_cdi_crossref_primary_10_1080_03461238_2021_2025145
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_1080_03461238_2021_2025145
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ISSN
0346-1238
E-ISSN
1651-2030
DOI
10.1080/03461238.2021.2025145
