G/M/1 type structure of a risk model with general claim sizes in a Markovian environment

DOI10.3934/JIMO.2012.8.909MaRDI QIDQ2358890zbMATH OpenOpenAlexFDO

Authors Jerim Kim, Bara Kim, Hwa-Sung Kim

Publication date 16 June 2017

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2012.8.909

zbMATH Keywords

first-passage timepenalty functionrisk modelruin probabilitysurplus process

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Processes in random environments (60K37)

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Cites work

• A review of discrete-time risk models
• A risk model with paying dividends and random environment
• Analysis of a defective renewal equation arising in ruin theory
• Applications of fluid flow matrix analytic methods in ruin theory -- a review
• Approximations for moments of deficit at ruin with exponential and subexponential claims.
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Discounted probabilities and ruin theory in the compound binomial model
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• scientific article; zbMATH DE number 194776 (Why is no real title available?)
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• Risk models based on time series for count random variables
• Ruin probabilities for time-correlated claims in the compound binomial model.
• Ruin probabilities in the discrete time renewal risk model
• Ruin problems in a discrete Markov risk model
• Ruin theory for a Markov regime-switching model under a threshold dividend strategy
• The compound Poisson risk model with a threshold dividend strategy
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• The Fourier-series method for inverting transforms of probability distributions
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The Markovian regime-switching risk model with a threshold dividend strategy
• The matrix analogue of the Blackwell renewal theorem on the real line
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier

Cited in

(2)

• On a Generalization of the Risk Model with Markovian Claim Arrivals
• A risk process driven by a Markovian environment process

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