Occupation times in the MAP risk model

DOI10.1016/j.insmatheco.2014.10.014zbMath1308.91087OpenAlexW2088034873MaRDI QIDQ2260947

Tianxiang Shi, David Landriault

Publication date: 13 March 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.10.014

zbMATH Keywords

occupation timeMarkovian arrival processduration of negative surplustime to ruinnumber of claims with negative surplus

Mathematics Subject Classification ID

Related Items (5)

An occupation time related potential measure for diffusion processes ⋮ On the occupation times in a delayed Sparre Andersen risk model with exponential claims ⋮ Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application ⋮ \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes ⋮ Analysis of a MAP Risk Model with Stochastic Incomes, Inter-Dependent Phase-Type Claims and a Constant Barrier

Cites Work

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• Step Options
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• Perturbed MAP Risk Models with Dividend Barrier Strategies
• On the Time Value of Ruin

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