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 journalArticlepeer-review

6 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 languageEnglish
Pages (from-to)474-489
Number of pages16
JournalStochastic Models
Volume27
Issue number3
DOIs
Publication statusPublished - Jul 2011

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