A Risk Model Based on Markov Chains with Marked Transitions
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Publication:2841135
DOI10.1080/15326349.2013.783289zbMath1270.60081OpenAlexW2069402847MaRDI QIDQ2841135
Publication date: 24 July 2013
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349.2013.783289
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Cites Work
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- Markov chains with marked transitions
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- A multivariate aggregate loss model
- On the expected discounted penalty functions for two classes of risk processes
- Hitting probabilities and hitting times for stochastic fluid flows
- A quintuple law for Markov additive processes with phase-type jumps
- The expected number of level crossings for certain symmetric α-stable processes
- Erlangian Approximations for Finite-Horizon Ruin Probabilities
- Applied Probability and Queues
- The surplus prior to ruin and the deficit at ruin for a correlated risk process
- The Time Value of Ruin in a Sparre Andersen Model
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