A Multinomial Approximation Approach for the Finite Time Survival Probability Under the Markov-modulated Risk Model

In this paper, we consider the problem of computing different types of finite time survival probabilities for a Markov-Modulated risk model and a Markov-Modulated risk model with reinsurance, both with varying premium rates. We use the multinomial approximation scheme to derive an efficient recursiv...

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Veröffentlicht in:	Methodology and computing in applied probability 2022-09, Vol.24 (3), p.2169-2194
Hauptverfasser:	Li, Jingchao, Su, Bihao, Wei, Zhenghong, Nie, Ciyu
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Approximation Business and Management Economics Electrical Engineering Laplace transforms Life Sciences Mathematical analysis Mathematics and Statistics Monte Carlo simulation Probability Reinsurance Risk Statistics Survival
Online-Zugang:	Volltext
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