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Ruin probabilities in models with a Markov chain dependence structure |
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| Authors: | C Constantinescu D Kortschak V Maume-Deschamps |
| Institution: | 1. Department of Actuarial Science, Faculty HEC , University of Lausanne , Extranef Building, CH-1015 , Lausanne , Switzerland corina.constantinescu@unil.ch;3. Department of Actuarial Science, Faculty HEC , University of Lausanne , Extranef Building, CH-1015 , Lausanne , Switzerland;4. Department of Actuarial Science, Faculty HEC , University of Lausanne , Extranef Building, CH-1015 , Lausanne , Switzerland;5. ISFA, Laboratoire SAF , Université de Lyon, Université Lyon 1, ISFA , Laboratoire SAF, EA 2429, 50 Avenue Tony Garnier, F-69007 , Lyon , France |
| Abstract: | In this paper we derive explicit expressions for the probability of ruin in a renewal risk model with dependence among the increments (Z k ) k>0. We study the case where the dependence structure among (Z k ) k>0 is driven by a Markov chain with a transition kernel that can be described via ordinary differential equations with constant coefficients. |
| Keywords: | ruin probability dependence Markov chain random walk rational Laplace transform ordinary differential equation with constant coefficients |