Occupation times in the MAP risk model

DOI10.1016/j.insmatheco.2014.10.014zbMath1308.91087MaRDI 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 time; Markovian arrival process; duration of negative surplus; time to ruin; number of claims with negative surplus

Mathematics Subject Classification ID

60J28: Applications of continuous-time Markov processes on discrete state spaces

Related Items

Analysis of a MAP Risk Model with Stochastic Incomes, Inter-Dependent Phase-Type Claims and a Constant Barrier, 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, An occupation time related potential measure for diffusion processes, On the occupation times in a delayed Sparre Andersen risk model with exponential claims

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