Ruin Probabilities in Regime-Switching Models with Imprecise Information About the Switch

Regime-switching Markovian models can describe natural disasters such as floods more accurately then the corresponding models without a switch. However, when using switching models, we must first provide them with a transition matrix that can be estimated from the data. In this paper we will investigate how much the inaccuracy in determining the transition matrix of the regime-switching Sparre Andersen model can affect the infinite-horizon ruin probability of the insurer