A Direct Approach to a First-Passage Problem with Applications in Risk Theory

DOI10.1080/15326349.2011.593402MaRDI QIDQ3094228zbMATH OpenOpenAlexFDO

Authors David Landriault, Kristina P. Sendova

Publication date 21 October 2011

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2011.593402

zbMATH Keywords

dual ruin modelfirst-passage timeLaplace transformrisk managementruin problem

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Processes in random environments (60K37)

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Cites work

• Aspects of risk theory
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Finite time ruin probabilities with one Laplace inversion.
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 3259556 (Why is no real title available?)
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• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• Optimal dividends in the dual model
• Passage times in fluid models with application to risk processes
• Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
• Tail probabilities of low-priority waiting times and queue lengths in MAP/GI/1 queues
• The workload in theMAP/G/1 queue with state-dependent services:its application to a queue with preemptive resume priority

Cited in

(8)

• Duality in ruin problems for ordered risk models
• The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier
• The ruin time under the Sparre Andersen dual model
• Parisian ruin with a threshold dividend strategy under the dual Lévy risk model
• On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
• On the Parisian ruin of the dual Lévy risk model
• The Discounted Moments of the Surplus After the Last Innovation Before Ruin Under the Dual Risk Model
• Passage times in fluid models with application to risk processes

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