The Markov additive risk process under an Erlangized dividend barrier strategy

DOI10.1007/s11009-014-9414-7zbMath1338.91081MaRDI QIDQ292342

Eric C. K. Cheung, Zhimin Zhang

Publication date: 8 June 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/200915

zbMATH Keywords

Markov renewal equation; Gerber-Shiu function; barrier strategy; dividends; Erlangization; inter-dividend-decision times; Markov additive process

Mathematics Subject Classification ID

60K20: Applications of Markov renewal processes (reliability, queueing networks, etc.)

Related Items

Periodic threshold-type dividend strategy in the compound Poisson risk model, ON THE INTERFACE BETWEEN OPTIMAL PERIODIC AND CONTINUOUS DIVIDEND STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS, Lévy insurance risk process with Poissonian taxation, Unnamed Item, Analysis of a MAP Risk Model with Stochastic Incomes, Inter-Dependent Phase-Type Claims and a Constant Barrier, Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes, ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS, Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times, A note on a discrete time MAP risk model, On a discrete risk model with delayed claims and a randomized dividend strategy, On optimal periodic dividend strategies in the dual model with diffusion, Moments of discounted dividend payments in a risk model with randomized dividend-decision times, Spectrally negative Lévy risk model under Erlangized barrier strategy, A note on a Lévy insurance risk model under periodic dividend decisions, The compound Poisson risk model under a mixed dividend strategy, Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation, Designing cost-efficient inspection schemes for stochastic streamflow environment using an effective Hamiltonian approach, On a double barrier hybrid dividend strategy in a compound Poisson risk model with stochastic income, On the dual risk model with diffusion under a mixed dividend strategy, On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy, Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin, Finite-time dividend problems in a Lévy risk model under periodic observation, Potential measures for spectrally negative Markov additive processes with applications in ruin theory, On a perturbed compound Poisson model with varying premium rates

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the total operating costs up to default in a renewal risk model
• A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
• On the discounted penalty function in a Markov-dependent risk model
• Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
• The Erlangization method for Markovian fluid flows
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On the time to ruin for Erlang(2) risk processes.
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Lévy systems and the time value of ruin for Markov additive processes
• On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• On a risk model with randomized dividend-decision times
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Introductory lectures on fluctuations of Lévy processes with applications.
• Potential measures for spectrally negative Markov additive processes with applications in ruin theory
• Erlangian approximation to finite time ruin probabilities in perturbed risk models
• Randomized observation periods for the compound Poisson risk model: the discounted penalty function
• Randomized observation periods for the compound Poisson risk model: Dividends
• On the absolute ruin in a MAP risk model with debit interest
• First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
• Analysis of a threshold dividend strategy for a MAP risk model
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Applied Probability and Queues
• Risk theory in a Markovian environment
• The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
• Perturbed MAP Risk Models with Dividend Barrier Strategies
• Analysis of the multiple roots of the Lundberg fundamental equation in the PH (n) risk model
• Risk processes analyzed as fluid queues
• Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
• Markov renewal theory
• Optimal Dividends
• On the Time Value of Ruin