Markov Processes are central objects in probability theory. Its characterising property can be characterised intuitively as follows: given the information of the historical development the ...

We consider a discrete-time risk process driven by proportional reinsurance and an interest rate process. We assume that the interest rate process behaves as a Markov chain. To reduce the risk of ruin ...

This paper deals with discrete-time Markov decision processes (MDPs) under constraints where all the objectives have the same form of expected total cost over the infinite time horizon. The existence ...