The Markov additive risk process under an Erlangized dividend barrier strategy

DOI10.1007/s11009-014-9414-7zbMath1338.91081OpenAlexW2025084271MaRDI 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 equationGerber-Shiu functionbarrier strategydividendsErlangizationinter-dividend-decision timesMarkov additive process

Mathematics Subject Classification ID

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

Related Items (24)

On a perturbed compound Poisson model with varying premium rates ⋮ Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes ⋮ A note on a discrete time MAP risk model ⋮ 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 ⋮ 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 ⋮ Lévy insurance risk process with Poissonian taxation ⋮ 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 ⋮ Moments of discounted dividend payments in a risk model with randomized dividend-decision times ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ Spectrally negative Lévy risk model under Erlangized barrier strategy ⋮ A note on a Lévy insurance risk model under periodic dividend decisions ⋮ Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin ⋮ The compound Poisson risk model under a mixed dividend strategy ⋮ Finite-time dividend problems in a Lévy risk model under periodic observation ⋮ ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS ⋮ Potential measures for spectrally negative Markov additive processes with applications in ruin theory ⋮ On a discrete risk model with delayed claims and a randomized dividend strategy ⋮ On optimal periodic dividend strategies in the dual model with diffusion ⋮ Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation ⋮ Unnamed Item ⋮ Analysis of a MAP Risk Model with Stochastic Incomes, Inter-Dependent Phase-Type Claims and a Constant Barrier

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