On the absolute ruin in a MAP risk model with debit interest

DOI10.1239/aap/1300198513zbMath1229.91171MaRDI QIDQ2996570

Hailiang Yang, Hu Yang, Zhimin Zhang

Publication date: 3 May 2011

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1300198513

zbMATH Keywords

heavy-tailed distribution; Markov additive processes; matrix renewal equation; discounted penalty function; absolute ruin; asymtotics

Mathematics Subject Classification ID

91B70: Stochastic models in economics

60J28: Applications of continuous-time Markov processes on discrete state spaces

Related Items

The Markov additive risk process under an Erlangized dividend barrier strategy, On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model, A note on a discrete time MAP risk model, On a perturbed MAP risk model under a threshold dividend strategy, On a risk model with Markovian arrivals and tax

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