The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
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Publication:963936
DOI10.1016/J.AMC.2010.01.068zbMath1202.91129OpenAlexW2113485710MaRDI QIDQ963936
Rong Wu, Min Song, Jiandong Ren, Qing-bin Meng
Publication date: 14 April 2010
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2010.01.068
Markov processphase-type distributiontime of ruinGerber-Shiu discounted penalty functionSparre Anderson risk process
Related Items (13)
Markov-dependent risk model with multi-layer dividend strategy ⋮ A surplus process involving a compound Poisson counting process and applications ⋮ Lévy Processes, Phase-Type Distributions, and Martingales ⋮ On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ The phase-type risk model perturbed by diffusion under a threshold dividend strategy ⋮ The discounted penalty function with multi-layer dividend strategy in the phase-type risk model ⋮ On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues ⋮ A matrix operator approach to a risk model with two classes of claims ⋮ Dividend Payments in a Risk Model Perturbed by Diffusion with Multiple Thresholds ⋮ On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing ⋮ Maximum surplus and \(R_n\) class of distributions with an application to dividends ⋮ On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process
Cites Work
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