\(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment

DOI10.3934/jimo.2012.8.909zbMath1364.60113OpenAlexW2333656335MaRDI QIDQ2358890

Bara Kim, Jerim 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

ruin probabilitypenalty functionrisk modelfirst-passage timesurplus process

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
• Ruin theory for a Markov regime-switching model under a threshold dividend strategy
• A risk model with paying dividends and random environment
• The Markovian regime-switching risk model with a threshold dividend strategy
• 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
• Ruin probabilities for time-correlated claims in the compound binomial model.
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• Discounted probabilities and ruin theory in the compound binomial model
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Approximations for moments of deficit at ruin with exponential and subexponential claims.
• Analysis of a defective renewal equation arising in ruin theory
• Risk models based on time series for count random variables
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• Ruin probabilities in the discrete time renewal risk model
• The compound Poisson risk model with a threshold dividend strategy
• Ruin problems in a discrete Markov risk model
• On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• The matrix analogue of the Blackwell renewal theorem on the real line
• A review of discrete-time risk models
• Applications of fluid flow matrix analytic methods in ruin theory —a review;Méetodos analíticos matriciales para flujos fluidos aplicados a la teoría de la ruina —una revisión

This page was built for publication: \(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment