On the upcrossing and downcrossing probabilities of a dual risk model with phase-type gains

DOI10.2143/AST.40.1.2049230MaRDI QIDQ3569716zbMATH OpenFDO

Authors Andrew Cheuk-Yin Ng

Publication date 21 June 2010

Published in ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

phase-type distributiondual risk modelruin theorydividend strategyupcrossing and downcrossing probabilities

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3783337 (Why is no real title available?)
• scientific article; zbMATH DE number 3312403 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• On a dual model with a dividend threshold
• On cycle maxima, first passage problems and extreme value theory for queues
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• Optimal Dividends in the Dual Model with Diffusion
• Optimal dividends in the dual model
• Optimal dividends with incomplete information in the dual model
• Optimizing venture capital investments in a jump diffusion model
• Ruin probabilities of a dual Markov-modulated risk model
• Simple approximations of ruin probabilities

Cited in

(11)

• On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
• Asymptotic analysis for optimal dividends in a dual risk model
• Ruin and dividend measures in the renewal dual risk model
• Dividend problems in the dual risk model
• A delayed dual risk model
• A Lévy risk model with ratcheting and barrier dividend strategies
• Some advances on the Erlang(\(n\)) dual risk model
• A \(2\times 2\) random switching model and its dual risk model
• On a Risk Model With Dual Seasonalities
• On dividends in the phase-type dual risk model
• On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property

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