On the total operating costs up to default in a renewal risk model

DOI10.1016/j.insmatheco.2009.07.011zbMath1231.91183OpenAlexW2072776453MaRDI QIDQ659143

Runhuan Feng

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.07.011

zbMATH Keywords

phase-type distributionruin theorypiecewise-deterministic Markov processtotal operating costs up to default

Mathematics Subject Classification ID

Renewal theory (60K05)

Related Items (14)

The Markov additive risk process under an Erlangized dividend barrier strategy ⋮ A note on a discrete time MAP risk model ⋮ On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes ⋮ Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation ⋮ Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion ⋮ Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ Discounted aggregate claim costs until ruin in the discrete-time renewal risk model ⋮ An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models ⋮ A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium ⋮ Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times ⋮ On a generalization from ruin to default in a Lévy insurance risk model ⋮ Potential measures for spectrally negative Markov additive processes with applications in ruin theory ⋮ Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps

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