Ruin probabilities in a Markovian shot-noise environment - Pojer, Simon; Thonhauser, Stefan (Journal of applied probability, 2023)
Keywords: Asymptotic properties; Markov analysis; Markov processes; Martingales; Ordinary differential equations; Original Article; Probability; Random variables; Statistical analysis; Upper bounds; risk theory; piecewise-deterministic Markov processes (PDMP); Ruin theory; Cox processes; 60J25; 91G05; 60K10