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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 finite-state 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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Updated: 11/12-2010