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

DOI10.1016/J.INSMATHECO.2016.08.001zbMATH Open1371.91078OpenAlexW2517582082MaRDI QIDQ2374094FDOQ2374094

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

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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)

Cites Work

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• First Passage of a Markov Additive Process and Generalized Jordan Chains
• On Maxima and Ladder Processes for a Dense Class of Lévy Process
• A bivariate risk model with mutual deficit coverage
• On the convergence of the Gaver-Stehfest algorithm
• The moments of the time of ruin in Markovian risk models
• Applications of fluid flow matrix analytic methods in ruin theory -- a review

Cited In (3)

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

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