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Small-time ruin for a financial process modulated by a Harris recurrent Markov chain

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  • Jeffrey Collamore
  • Andrea Höing

Abstract

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Suggested Citation

  • Jeffrey Collamore & Andrea Höing, 2007. "Small-time ruin for a financial process modulated by a Harris recurrent Markov chain," Finance and Stochastics, Springer, vol. 11(3), pages 299-322, July.
    • Handle: RePEc:spr:finsto:v:11:y:2007:i:3:p:299-322
    DOI: 10.1007/s00780-007-0044-6
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    References listed on IDEAS

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    1. Tiefeng, Jiang, 1994. "Large deviations for renewal processes," Stochastic Processes and their Applications, Elsevier, vol. 50(1), pages 57-71, March.
    2. Mary Hardy, 2001. "A Regime-Switching Model of Long-Term Stock Returns," North American Actuarial Journal, Taylor & Francis Journals, vol. 5(2), pages 41-53.
    3. Asmussen, Søren & Henriksen, Lotte Fløe & Klüppelberg, Claudia, 1994. "Large claims approximations for risk processes in a Markovian environment," Stochastic Processes and their Applications, Elsevier, vol. 54(1), pages 29-43, November.
    4. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    6. Dickson,David C. M., 2005. "Insurance Risk and Ruin," Cambridge Books, Cambridge University Press, number 9780521846400.
    7. Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas, 2002. "Regular variation of GARCH processes," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 95-115, May.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Ruin probabilities; Large deviations; Subexponential distributions; GARCH processes; Repetitive operational risk modeling; G10; 60G70; 60J10; 60F10;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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