A note on a discrete time MAP risk model

DOI10.1016/J.CAM.2016.06.034zbMATH Open1410.91276OpenAlexW2465622178MaRDI QIDQ313585FDOQ313585

Zhimin Zhang, Hu Yang, Chao-Lin Liu

Publication date: 12 September 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.06.034

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zbMATH Keywords

MAPruin probabilityGerber-Shiu functionrecursive formula

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Diffusion processes (60J60)

Cites Work

• Applied Probability and Queues
• Ruin probabilities
• Risk theory in a Markovian environment
• Ruin probabilities for time-correlated claims in the compound binomial model.
• The compound binomial risk model with time-correlated claims
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• A matrix operator approach to the analysis of ruin-related quantities in the phase-type renewal risk model
• The Markov additive risk process under an Erlangized dividend barrier strategy
• On the absolute ruin in a MAP risk model with debit interest
• The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
• On the total operating costs up to default in a renewal risk model
• A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
• On the discounted penalty function in a Markov-dependent risk model
• Survival probabilities in a discrete semi-Markov risk model
• Expected discounted dividends in a discrete semi-Markov risk model
• Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model
• Ruin problems in a discrete Markov risk model
• Some results on the compound Markov binomial model
• Ruin Probabilities in the Compound Markov Binomial Model
• Compound binomial risk model in a Markovian environment
• Singularities of the matrix exponent of a Markov additive process with one-sided jumps

Cited In (4)

• On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates
• On a discrete interaction risk model with delayed claims and randomized dividends
• A note on the net profit condition for discrete and classical risk models
• Title not available (Why is that?)

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