On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model

Recommendations

Analysis of a generalized penalty function in a semi-Markovian risk model
On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
The expected discounted penalty function in the dual insurance risk model with randomized observation periods
Ruin probabilities of a dual Markov-modulated risk model
On a perturbed dual risk model with dependence between inter-gain times and gain sizes

Cites work

scientific article; zbMATH DE number 2030798 (Why is no real title available?)
scientific article; zbMATH DE number 194776 (Why is no real title available?)
scientific article; zbMATH DE number 879785 (Why is no real title available?)
scientific article; zbMATH DE number 3259556 (Why is no real title available?)
scientific article; zbMATH DE number 3312403 (Why is no real title available?)
A Direct Approach to a First-Passage Problem with Applications in Risk Theory
A Direct Approach to the Discounted Penalty Function
A MARKOV RENEWAL APPROACH TO THE ASYMPTOTIC DECAY OF THE TAIL PROBABILITIES IN RISK AND QUEUING PROCESSES
A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
A link between wave governed random motions and ruin processes
A note on a class of delayed renewal risk processes
A unified analysis of claim costs up to ruin in a Markovian arrival risk model
A unifying approach to the analysis of business with random gains
Analysis of a generalized penalty function in a semi-Markovian risk model
Applied Probability and Queues
Aspects of risk theory
Bounds for the ruin probability under a markovian modulated risk model
Dividend Moments in the Dual Risk Model: Exact and Approximate Approaches
Exponential Behavior in the Presence of Dependence in Risk Theory
Gerber-Shiu analysis with a generalized penalty function.
How long is the surplus below zero?
Introduction to Matrix Analytic Methods in Stochastic Modeling
Markov renewal theory
On a Generalization of the Risk Model with Markovian Claim Arrivals
On a dual model with a dividend threshold
On a generalization of the Gerber-Shiu function to path-dependent penalties
On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
On orderings and bounds in a generalized Sparre Andersen risk model
On ruin for the Erlang \((n)\) risk process
On the Time Value of Ruin
On the absolute ruin in a map risk model with debit interest
On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
On the discounted penalty function in a Markov-dependent risk model
On the discounted penalty function in the renewal risk model with general interclaim times
On the dual risk model with tax payments
On the expectation of total discounted operating costs up to default and its applications
On the time to ruin for Erlang(2) risk processes.
Optimal dividends in the dual model
Optimal dividends with incomplete information in the dual model
Risk process with random income
Risk processes analyzed as fluid queues
Ruin probabilities of a dual Markov-modulated risk model
Single-server queue with Markov-dependent inter-arrival and service times
Some Optimal Dividends Problems
Some remarks on delayed renewal risk models
Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
The Gerber-Shiu function and the generalized Cramér-Lundberg model
The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model
The expected discounted penalty function under a risk model with stochastic income
Upper and lower bounds for the solutions of Markov renewal equations
When does the surplus reach a given target?
“Recursive Calculation of the Dividend Moments in a Multi-Threshold Risk Model,” Andrei Badescu and David Landriault, January 2008

Cited in

(10)

Analysis of a generalized penalty function in a semi-Markovian risk model
Asynchronous dissipative control design for semi-Markovian jump systems with uncertain probability distribution functions of sojourn-time
The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions
On a time-changed Lévy risk model with capital injections and periodic observation
Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion
Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. II: Numerical aspects
Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects
On the dual risk model with Parisian implementation delays in dividend payments
On the compound Poisson risk model with periodic capital injections
A unifying approach to the analysis of business with random gains

This page was built for publication: On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q297901)