Occupation times in the MAP risk model

DOI10.1016/J.INSMATHECO.2014.10.014zbMATH Open1308.91087OpenAlexW2088034873MaRDI QIDQ2260947FDOQ2260947

Authors: David Landriault, Tianxiang Shi 

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

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• On occupation times for a risk process with reserve-dependent premium
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zbMATH Keywords

occupation timeMarkovian arrival processtime to ruinduration of negative surplusnumber of claims with negative surplus

Mathematics Subject Classification ID

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

Cites Work

• Introductory lectures on fluctuations of Lévy processes with applications.
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• On the Time Value of Ruin
• Occupation times of spectrally negative Lévy processes with applications
• How long is the surplus below zero?
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• Perturbed MAP Risk Models with Dividend Barrier Strategies
• When does the surplus reach a given target?
• A unified framework for numerically inverting Laplace transforms
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
• On the discounted penalty function in a Markov-dependent risk model
• Step options.
• Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
• First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications
• First Passage of a Markov Additive Process and Generalized Jordan Chains
• The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
• On the distribution of the duration of negative surplus
• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
• Occupation measure and local time of classical risk processes
• Corridor options and arc-sine law.
• Occupation times for Markov-modulated Brownian motion

Cited In (11)

• 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
• Total duration of negative surplus for an MAP risk model
• On occupation times for compound Poisson risk model with two-step premium rate
• The local time of the classical risk process
• On the occupation times in a dual delayed Sparre Andersen risk model
• On the occupation times in a delayed Sparre Andersen risk model with exponential claims
• Analysis of a MAP risk model with stochastic incomes, inter-dependent phase-type claims and a constant barrier
• On occupation times in the red of Lévy risk models
• How long does the surplus stay close to its historical high?

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