A unified analysis of claim costs up to ruin in a Markovian arrival risk model

DOI10.1016/j.insmatheco.2013.04.001zbMath1284.91214OpenAlexW2042365648MaRDI QIDQ2445994

Runhuan Feng, Eric C. K. Cheung

Publication date: 15 April 2014

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

Full work available at URL: http://hdl.handle.net/10722/186273

zbMATH Keywords

Markovian arrival processMarkov renewal equationrisk modelGerber-Shiu functiongeneralized penalty functionDickson-Hipp operatorclaim costs up to ruin

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (18)

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 ⋮ A note on a discrete time MAP risk model ⋮ Cramér-Lundberg Model with Stochastic Premiums and Continuous Non-insurance Costs ⋮ On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes ⋮ Some ruin problems for the MAP risk model ⋮ Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Transform approach for discounted aggregate claims in a risk model with descendant claims ⋮ Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times ⋮ Discounted aggregate claim costs until ruin in the discrete-time renewal risk model ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ A risk model with varying premiums: its risk management implications ⋮ Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times ⋮ Potential measures for spectrally negative Markov additive processes with applications in ruin theory ⋮ Modeling the effect of spending on cyber security by using surplus process ⋮ Analysis of a MAP Risk Model with Stochastic Incomes, Inter-Dependent Phase-Type Claims and a Constant Barrier ⋮ Gerber-Shiu analysis with two-sided acceptable levels

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