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

DOI10.2143/AST.40.1.2049230zbMATH Open1230.91081MaRDI QIDQ3569716FDOQ3569716

Authors: Andrew Cheuk-Yin Ng 

Publication date: 21 June 2010

Published in: ASTIN Bulletin (Search for Journal in Brave)

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zbMATH Keywords

phase-type distributiondual risk modelruin theorydividend strategyupcrossing and downcrossing probabilities

Mathematics Subject Classification ID

Cites Work

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• Simple approximations of ruin probabilities
• Optimal Dividends in the Dual Model with Diffusion
• Optimal dividends in the dual model
• On a dual model with a dividend threshold
• Optimizing venture capital investments in a jump diffusion model
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• Optimal dividends with incomplete information in the dual model
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• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• On cycle maxima, first passage problems and extreme value theory for queues

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
• SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL
• On dividends in the phase–type 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
• A \(2\times 2\) random switching model and its dual risk model
• On a Risk Model With Dual Seasonalities
• On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property

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