The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion

DOI10.1080/10920277.2007.10597456zbMath1480.91226OpenAlexW1975354846MaRDI QIDQ5019736

Cary Chi-Liang Tsai, Yi Lu

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597456

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Laplace transform (44A10) Actuarial mathematics (91G05)

Related Items (20)

The Markov additive risk process under an Erlangized dividend barrier strategy ⋮ A note on a discrete time MAP risk model ⋮ Asymptotic results for a Markov-modulated risk process with stochastic investment ⋮ On a perturbed MAP risk model under a threshold dividend strategy ⋮ Numerical Solution of a Matrix Integral Equation Arising in Markov-Modulated Lévy Processes ⋮ Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ The maximum severity of ruin in a perturbed risk process with Markovian arrivals ⋮ Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment ⋮ A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model ⋮ On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy ⋮ Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps ⋮ The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times ⋮ Occupation times in the MAP risk model ⋮ On the distribution of classic and some exotic ruin times ⋮ When does surplus reach a given target before ruin in the Markov-modulated diffusion model? ⋮ A generalised Gerber–Shiu measure for Markov-additive risk processes with phase-type claims and capital injections ⋮ The Markovian regime-switching risk model with a threshold dividend strategy ⋮ “The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model”, Jiandong Ren, July 2007 ⋮ Gerber-Shiu analysis with two-sided acceptable levels

Cites Work

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