Jan Grandell
KTH, Stockholm
Ruin probabilities in a random environment
Abstract:
We will consider generalizations of the standard model in insurance
risk theory where the location of the
claims are described by a Cox process. Especially we treat the cases
where the intensity process is a
finitestate Markov process or an independent jump process. The last
process has a renewal structure.
Our focus will be on inequalities and asymptotic results for the ruin
probability.
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