Ruin probabilities in models with a Markov chain dependence structure (Q2868616): Difference between revisions

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+https://doi.org/10.1080/03461238.2011.627745
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+W2115640472
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@@ Property / cites work @@
+On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
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+An algebraic operator approach to the analysis of Gerber-Shiu functions
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+Exponential Behavior in the Presence of Dependence in Risk Theory
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+Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
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+Risk processes analyzed as fluid queues
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+Dependent Risk Models with Bivariate Phase-Type Distributions
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+On a risk model with dependence between interclaim arrivals and claim sizes
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+Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
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+An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
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+The Time Value of Ruin in a Sparre Andersen Model
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+On the discounted penalty function in the renewal risk model with general interclaim times
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