Ruin Probabilities for Risk Process in a Regime Switching Environment

TL;DR

This paper derives expressions and asymptotic behaviors for ruin probabilities in a risk process influenced by a Markov regime-switching environment, considering different time horizons, initial reserves, and claim distributions.

Contribution

It introduces new formulas and asymptotic results for ruin probabilities in Markov modulated risk processes, extending classical models to regime-switching scenarios.

Findings

Derived explicit expressions for ruin probabilities.

Provided asymptotic estimates for large initial reserves.

Analyzed ruin times under various regimes.

Abstract

In this paper we give few expressions and asymptotics of ruin probabilities for a Markov modulated risk process for various regimes of a time horizon, initial reserves and a claim size distribution. We also consider few versions of the ruin time.