Ruin theory in a hidden markov-modulated risk model

Robert J. Elliott; Tak Kuen Siu; Hailiang Yang

doi:10.1080/15326349.2011.593408

Ruin theory in a hidden markov-modulated risk model

Robert J. Elliott^*, Tak Kuen Siu, Hailiang Yang

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

7 Citations (Scopus)

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.

Original language	English
Pages (from-to)	474-489
Number of pages	16
Journal	Stochastic Models
Volume	27
Issue number	3
DOIs	https://doi.org/10.1080/15326349.2011.593408
Publication status	Published - Jul 2011
Externally published	Yes

Keywords

Dirichlet problem
Filtering
Hidden Markovian regime-switching model
Innovations approach
Partial differential equation
Ruin probability

Access to Document

10.1080/15326349.2011.593408

Cite this

@article{fbcf20bd0903492b9bd5526e0edefdf2,

title = "Ruin theory in a hidden markov-modulated risk model",

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.",

keywords = "Dirichlet problem, Filtering, Hidden Markovian regime-switching model, Innovations approach, Partial differential equation, Ruin probability",

author = "Elliott, {Robert J.} and Siu, {Tak Kuen} and Hailiang Yang",

year = "2011",

month = jul,

doi = "10.1080/15326349.2011.593408",

language = "English",

volume = "27",

pages = "474--489",

journal = "Stochastic Models",

issn = "1532-6349",

number = "3",

}

TY - JOUR

T1 - Ruin theory in a hidden markov-modulated risk model

AU - Elliott, Robert J.

AU - Siu, Tak Kuen

AU - Yang, Hailiang

PY - 2011/7

Y1 - 2011/7

N2 - 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.

AB - 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.

KW - Dirichlet problem

KW - Filtering

KW - Hidden Markovian regime-switching model

KW - Innovations approach

KW - Partial differential equation

KW - Ruin probability

UR - http://www.scopus.com/inward/record.url?scp=80051543466&partnerID=8YFLogxK

U2 - 10.1080/15326349.2011.593408

DO - 10.1080/15326349.2011.593408

M3 - Article

AN - SCOPUS:80051543466

SN - 1532-6349

VL - 27

SP - 474

EP - 489

JO - Stochastic Models

JF - Stochastic Models

IS - 3

ER -

Ruin theory in a hidden markov-modulated risk model

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this