On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals

DOI10.1016/j.insmatheco.2006.10.017zbMath1193.60103OpenAlexW2052945402WikidataQ126190555 ScholiaQ126190555MaRDI QIDQ2384449

Andrei L. Badescu, Soohan Ahn

Publication date: 21 September 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.10.017

zbMATH Keywords

phase-type distributionfluid queuesMarkovian arrival processGerber-Shiu discounted penalty functioncorrelated claims

Mathematics Subject Classification ID

Related Items (28)

\(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment ⋮ The Markov additive risk process under an Erlangized dividend barrier strategy ⋮ On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ On a perturbed MAP risk model under a threshold dividend strategy ⋮ Modeling and analysis for a repairable system with multi-state components under K-mixed redundancy strategy ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application ⋮ The time to ruin and the number of claims until ruin for phase-type claims ⋮ Compound binomial model with batch Markovian arrival process ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model ⋮ On a class of stochastic models with two-sided jumps ⋮ On the absolute ruin in a MAP risk model with debit interest ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ Delayed capital injections for a risk process with Markovian arrivals ⋮ The use of vector-valued martingales in risk theory ⋮ Analysis of an aggregate loss model in a Markov renewal regime ⋮ On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models ⋮ A quintuple law for Markov additive processes with phase-type jumps ⋮ Occupation times in the MAP risk model ⋮ On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends ⋮ A generalised Gerber–Shiu measure for Markov-additive risk processes with phase-type claims and capital injections ⋮ Maximum surplus and \(R_n\) class of distributions with an application to dividends ⋮ A renewal jump-diffusion process with threshold dividend strategy ⋮ A Markov Additive Risk Process with a Dividend Barrier ⋮ Analysis of a MAP Risk Model with Stochastic Incomes, Inter-Dependent Phase-Type Claims and a Constant Barrier ⋮ Ruin probabilities in models with a Markov chain dependence structure ⋮ Gerber-Shiu analysis with two-sided acceptable levels

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