Occupation times in the MAP risk model (Q2260947)

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Language	Label	Description	Also known as
English	Occupation times in the MAP risk model	scientific article

Statements

scholarly article

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Occupation times in the MAP risk model (English)

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David Landriault

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Insurance Mathematics \& Economics

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publication date

13 March 2015

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zbMATH Keywords

occupation time

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duration of negative surplus

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Markovian arrival process

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time to ruin

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number of claims with negative surplus

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2014.10.014

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A Unified Framework for Numerically Inverting Laplace Transforms

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On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals

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On the discounted penalty function in a Markov-dependent risk model

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Occupation Times for Markov-Modulated Brownian Motion

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Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options

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Perturbed MAP Risk Models with Dividend Barrier Strategies

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First Passage of a Markov Additive Process and Generalized Jordan Chains

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On the distribution of the duration of negative surplus

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The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model

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How long is the surplus below zero?

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Corridor options and arc-sine law.

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When does the surplus reach a given target?

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On the Time Value of Ruin

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Occupation densities in solving exit problems for Markov additive processes and their reflections

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Occupation measure and local time of classical risk processes

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Introductory lectures on fluctuations of Lévy processes with applications.

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Occupation times of spectrally negative Lévy processes with applications

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First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications

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On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model

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Occupation times of intervals until first passage times for spectrally negative Lévy processes

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

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Identifiers

zbMATH Open document ID

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10.1016/j.insmatheco.2014.10.014

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2260947

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