Asymptotic results for a Markov-modulated risk process with stochastic investment

Keyphrases

• Markov-modulated 100%
• Claim Size 100%
• Risk Process 100%
• Ruin Probability 100%
• Asymptotic Results 100%
• Power Function 66%
• Insurer 33%
• Heavy-tailed Claim Sizes 33%
• Risky Assets 33%
• Geometric Brownian Motion 33%
• Asymptotic Behavior 33%
• Expected Discounted Penalty Function 33%
• Regular Variation Theory 33%
• Claim Frequency 33%
• Markov Chain 33%
• Heavy Tails 33%
• Markov Process 33%
• Markov-modulated Risk Model 33%
• Strong Markov Property 33%
• Light-tailed 33%
• Systems of Integro-differential Equations 33%
• Laplace Transform 33%
• Premium Rate 33%

Mathematics

• Asymptotics 100%
• Risk Process 100%
• Claim Size 100%
• Stochastics 100%
• Power Function 66%
• Ruin Probability 66%
• Asymptotic Behavior 33%
• Regular Variation 33%
• Laplace Transform 33%
• Heavy Tail 33%
• Probability Theory 33%
• Risk Model 33%
• Risky Asset 33%
• Strong Markov Property 33%
• Differential Equation 33%
• Markov Process 33%
• Geometric Brownian Motion 33%
• Markov Chain 33%