A matrix operator approach to the analysis of ruin-related quantities in the phase-type renewal risk model

zbMATH Open1333.91025MaRDI QIDQ2801426FDOQ2801426

Runhuan Feng

Publication date: 7 April 2016

Published in: Mitteilungen. Schweizerische Aktuarvereinigung (SAV) (Search for Journal in Brave)

Full work available at URL: https://www.e-periodica.ch/cntmng?pid=msa-003:2009:0::125

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Cited In (16)

• The Markov additive risk process under an Erlangized dividend barrier strategy
• On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
• A matrix operator approach to a risk model with two classes of claims
• On a generalization from ruin to default in a Lévy insurance risk model
• A note on a discrete time MAP risk model
• Discounted aggregate claim costs until ruin in the discrete-time renewal risk model
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
• An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Potential measures for spectrally negative Markov additive processes with applications in ruin theory
• Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
• Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation
• Spectrally negative Lévy risk model under Erlangized barrier strategy
• A note on a Lévy insurance risk model under periodic dividend decisions
• Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
• Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times

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