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

DOI10.1239/AAP/1300198513zbMath1229.91171OpenAlexW2041829661MaRDI QIDQ2996570

Hailiang Yang, Zhimin Zhang, Hu Yang

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 distributionMarkov additive processesmatrix renewal equationdiscounted penalty functionabsolute ruinasymtotics

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (8)

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 risk model with Markovian arrivals and tax ⋮ On a perturbed MAP risk model under a threshold dividend strategy ⋮ Analysis of an aggregate loss model in a Markov renewal regime ⋮ Ruin probabilities under capital constraints ⋮ Analysis of a MAP Risk Model with Stochastic Incomes, Inter-Dependent Phase-Type Claims and a Constant Barrier

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