70 citations · 474 across the 46 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…
math.PR2018★ 1 cited
Diffusion limits for a Markov modulated binomial counting process
Peter Spreij, Jaap Storm
In this paper we study limit behavior for a Markov-modulated (MM) binomial counting process, also called a binomial counting process under regime switching. Such a process naturall…