Moments analysis of a Markov-modulated risk model with stochastic interest rates
Copyright policy )Moments analysis of a Markov-modulated risk model with stochastic interest rates
Summary: We determine explicitly the closed form of the moments of a Markov-Modulated Risk Model with Stochastic Interest Rate. The moments are derived by means of Laplace-Stieltjes transforms. Equations and formulas are conveniently represented by using the 2-dimensional matrix formalism. This paper substantially extends the results of \textit{B. Kim} and \textit{H.-S. Kim} [Insur. Math. Econ. 40, No. 3, 485--497 (2007; Zbl 1183.91071)] by allowing the possibility to work with a stochastic modulated interest rate and by considering a company having several business lines. A numerical example is provided to show possible applications of the model.
Applications of continuous-time Markov processes on discrete state spaces, Processes in random environments, Interest rates, asset pricing, etc. (stochastic models)
Applications of continuous-time Markov processes on discrete state spaces, Processes in random environments, Interest rates, asset pricing, etc. (stochastic models)
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).1 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!