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

DOI10.1239/AAP/1300198513MaRDI QIDQ2996570zbMATH OpenOpenAlexFDO

Authors Zhimin Zhang, Hailiang Yang, 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

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

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Cites work

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• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• On the time value of absolute ruin with debit interest
• Risk processes analyzed as fluid queues
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• Subexponential distributions and characterizations of related classes
• Subexponential distributions and integrated tails
• The perturbed compound Poisson risk process with investment and debit interest
• The probabilities of absolute ruin in the renewal risk model with constant force of interest
• The surplus prior to ruin and the deficit at ruin for a correlated risk process

Cited in

(10)

• Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
• Ruin probabilities under capital constraints
• Analysis of an aggregate loss model in a Markov renewal regime
• 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
• On a perturbed MAP risk model under a threshold dividend strategy
• Some ruin problems for the MAP risk model
• On a risk model with Markovian arrivals and tax
• A note on a discrete time MAP risk model
• Analysis of a MAP risk model with stochastic incomes, inter-dependent phase-type claims and a constant barrier

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