Some results about the expected ruin time in Markov-modulated risk models

Insurance: Mathematics and Economics

Volumn 18, Issue 2, 1996, Pages 119-127

  Bäuerle, Nicole ^a  

^a UNIVERSITY OF ULM   (Germany)

Author keywords

Coupling; Differential system; Markov modulated model; Renewal theory; Stochastic ordering

Indexed keywords

EID: 0030187122     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-6687(95)00034-8     Document Type: Article

References (13)

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3. Bäuerle, N. (1994). Stochastic Models with a Markovian Environment. Ph.D. dissertation at the University of Ulm (in German).
4. Bäuerle, N. (1997). Monotonicity results for MR/GI/1 queues. To appear in Journal of Applied Probability 35.
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12. Stoyan, D. (1983). Comparison Methods for Queues and other Stochastic Models. Wiley, Chichester.
13. Szekli, R., R.L. Desney and S. Hur (1994). MR/GI/1 queues with positively correlated arrival stream. Journal of Applied Probability 31, 497-514.