most citedAsymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment

7 citations · 7 across the 1 of their papers we have counts for

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math.PR2018★ 7 cited

Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment

G. A. Delsing, M. R. H. Mandjes, P. J. C. Spreij +1

This paper develops asymptotics and approximations for ruin probabilities in a multivariate risk setting. We consider a model in which the individual reserve processes are driven b…