The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion (Q5019736)

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

scientific article; zbMATH DE number 7455080

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English	The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion	scientific article; zbMATH DE number 7455080

Statements

instance of

scholarly article

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title

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

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North American Actuarial Journal

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publication date

10 January 2022

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/10920277.2007.10597456

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cites work

Risk theory in a Markovian environment

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Some results about the expected ruin time in Markov-modulated risk models

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On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion

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Q3938929

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Risk theory for the compound Poisson process that is perturbed by diffusion

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On the expected discounted penalty function for Lévy risk processes

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On the discounted penalty at ruin in a jump-diffusion and the perpetual put option

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On the Time Value of Ruin

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The Time Value of Ruin in a Sparre Andersen Model

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On ruin for the Erlang \((n)\) risk process

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On a general class of renewal risk process: analysis of the Gerber-Shiu function

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On the expected discounted penalty functions for two classes of risk processes

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Moments of the dividend payments and related problems in a Markov-modulated risk model

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The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.

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On the severity of ruin in a Markov-modulated risk model

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On the probability of ruin in a Markov-modulated risk model

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On the joint distribution of surplus before and after ruin under a Markovian regime switching model

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Q4772680

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Q4230625

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The severity of ruin in Markov-modulated risk models

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Q4851818

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On the discounted distribution functions of the surplus process perturbed by diffusion.

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On the stop-loss transform and order for the surplus process perturbed by diffusion

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A generalized defective renewal equation for the surplus process perturbed by diffusion.

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On the moments of the surplus process perturbed by diffusion.

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The Gerber-Shiu discounted penalty function in the stationary renewal risk model.

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Identifiers

zbMATH Open document ID

1480.91226

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DOI

10.1080/10920277.2007.10597456

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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