On a class of dependent Sparre Andersen risk models and a bailout application

DOI10.1016/J.INSMATHECO.2016.08.001MaRDI QIDQ2374094zbMATH OpenOpenAlexFDO

Authors F. Avram, Andrei Badescu, Landy Rabehasaina, Martijn R. Pistorius

Publication date 14 December 2016

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10044/1/38670

zbMATH Keywords

phase-type distributionbusy periodruin probabilitybailout strategySparre Andersen dependence structure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cites work

• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A bivariate risk model with mutual deficit coverage
• A versatile Markovian point process
• Applications of fluid flow matrix analytic methods in ruin theory -- a review
• Efficient algorithms for transient analysis of stochastic fluid flow models
• First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
• First Passage of a Markov Additive Process and Generalized Jordan Chains
• Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• On Maxima and Ladder Processes for a Dense Class of Lévy Process
• On the analysis of a general class of dependent risk processes
• On the convergence of the Gaver-Stehfest algorithm
• Risk processes analyzed as fluid queues
• Ruin probabilities
• Some Optimal Dividends Problems
• Stationary distributions for fluid flow models with or without brownian noise
• The moments of the time of ruin in Markovian risk models

Cited in

(3)

• Dependent Risk Models with Bivariate Phase-Type Distributions
• Parisian types of ruin probabilities for a class of dependent risk-reserve processes
• On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications

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