Delayed capital injections for a risk process with Markovian arrivals

DOI10.1007/S11009-020-09796-9zbMath1476.60127OpenAlexW3036239099MaRDI QIDQ2241638

Apostolos D. Papaioannou, A. S. Dibu, M. J. Jacob, Lewis Ramsden

Publication date: 9 November 2021

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-020-09796-9

zbMATH Keywords

Markov arrival processGerber-Shiu functionsystems of Fredholm integral equationsdelayed capital injectionsexpected discounted-accumulated capital injections until ruin

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Fredholm integral equations (45B05) Risk models (general) (91B05)

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On a double barrier hybrid dividend strategy in a compound Poisson risk model with stochastic income

Cites Work

• Passage times in fluid models with application to risk processes
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
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• The Classical Theory of Integral Equations
• On the analysis of a multi-threshold Markovian risk model
• A versatile Markovian point process
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Perturbed MAP Risk Models with Dividend Barrier Strategies
• Risk processes analyzed as fluid queues
• On the Time Value of Ruin
• “On the Time Value of Ruin”, Hans U. Gerber and Elias S.W. Shiu, January 1998
• ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS

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