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Ruin probabilities of a dual Markov-modulated risk model. (English) Zbl 1292.91100
Summary: This article is devoted to studying a dual Markov-modulated risk model, which can properly represent, to some extent, surplus processes of companies that pay costs continuously and have occasional gains. We consider both the finite and infnite horizon ruin probabilities under this dual model. Upper and lower bounds of Lundberg type are derived for these ruin probabilities. We also obtain a time-dependent version of Lundberg type inequalities.

91B30 Risk theory, insurance (MSC2010)
60K30 Applications of queueing theory (congestion, allocation, storage, traffic, etc.)
Full Text: DOI
[1] DOI: 10.1142/9789812779311 · doi:10.1142/9789812779311
[2] DOI: 10.1016/j.insmatheco.2006.10.002 · Zbl 1131.91026 · doi:10.1016/j.insmatheco.2006.10.002
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