A Risk Model Based on Markov Chains with Marked Transitions
From MaRDI portal
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
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Cites Work
- On the discounted penalty function in a Markov-dependent risk model
- The Gerber-Shiu penalty functions for two classes of renewal risk processes
- On ruin for the Erlang \((n)\) risk process
- Phase-type representations in random walk and queueing problems
- From ruin theory to pricing reset guarantees and perpetual put options
- On the time to ruin for Erlang(2) risk processes.
- Markov chains with marked transitions
- The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims
- 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
This page was built for publication: A Risk Model Based on Markov Chains with Marked Transitions