Abstract We investigate the Gerber-Shiu discounted penalty function for Markov-modulated
Lévy risk processes with random incomes. Firstly, we consider the case when the downward …

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 by a …

In this paper, we consider discounted penalty functions, also called Gerber-Shiu functions, in
a Markovian shot-noise environment. At first, we exploit the underlying structure of piecewise …

In this paper, we consider the survival probability for a discrete semi-Markov risk model,
which assumes individual claims are influenced by a Markov chain with finite state space …

We study a class of Markov-modulated compound Poisson processes whose arrival rates
and the compound random variables are both modulated by a stationary finite-state Markov …

We consider a Markovian regime‐switching risk model (also called the Markov‐modulated
risk model) with stochastic premium income, in which the premium income and the claim …

In this paper, we consider the dividend problems for a discrete semi-Markov risk model,
which assumes individual claims are influenced by a Markov chain with finite state space …

In this paper, we consider the problem of computing different types of finite time survival
probabilities for a Markov-Modulated risk model and a Markov-Modulated risk model with …

The Cambridge dictionary describes risk as “the possibility of something bad happening". An
event that leads to a financial loss can thus be referred to as a risk. In this thesis we discuss …