A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model

DOI10.1016/j.insmatheco.2009.07.009zbMath1231.91156OpenAlexW1996097088MaRDI QIDQ659191

Eric C. K. Cheung, David Landriault

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.2009.07.009

zbMATH Keywords

Markovian arrival processgeneralized penalty functiondiscounted joint distributionmaximum surplus level before ruin

Mathematics Subject Classification ID

Related Items (22)

The Markov additive risk process under an Erlangized dividend barrier strategy ⋮ On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ A note on a discrete time MAP risk model ⋮ A make-to-stock production/inventory model with MAP arrivals and phase-type demands ⋮ On a risk model with Markovian arrivals and tax ⋮ On a perturbed MAP risk model under a threshold dividend strategy ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ On the absolute ruin in a MAP risk model with debit interest ⋮ Analysis of an aggregate loss model in a Markov renewal regime ⋮ On the dual risk model with Parisian implementation delays in dividend payments ⋮ Total duration of negative surplus for an MAP risk model ⋮ A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium ⋮ On a risk model with surplus-dependent premium and tax rates ⋮ Potential measures for spectrally negative Markov additive processes with applications in ruin theory ⋮ Maximum surplus and \(R_n\) class of distributions with an application to dividends ⋮ A Two-Dimensional Risk Model with Proportional Reinsurance ⋮ A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion ⋮ Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps ⋮ Analysis of a MAP Risk Model with Stochastic Incomes, Inter-Dependent Phase-Type Claims and a Constant Barrier ⋮ Gerber-Shiu analysis with two-sided acceptable levels

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