Analysis of a threshold dividend strategy for a MAP risk model

DOI10.1080/03461230701396474zbMATH Open1164.91024OpenAlexW2105980583MaRDI QIDQ3608224FDOQ3608224

Authors: Andrei Badescu, Steve Derkic, David Landriault 

Publication date: 28 February 2009

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230701396474

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zbMATH Keywords

phase-type distributionMarkovian arrival processLaplace-Stieltjes transformfluid queuessurplus processSparre Andersen risk modelcorrelated claims

Mathematics Subject Classification ID

Cites Work

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• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Some Optimal Dividends Problems
• On a class of renewal risk models with a constant dividend barrier
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• The expected time to ruin in a risk process with constant barrier via martingales
• Transient Analysis of Fluid Models via Elementary Level-Crossing Arguments
• The compound Poisson risk model with a threshold dividend strategy
• On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
• The surplus prior to ruin and the deficit at ruin for a correlated risk process

Cited In (21)

• Compound binomial model with batch Markovian arrival process
• Moments of discounted dividends for a threshold strategy in the compound Poisson risk model
• Dividends in finite time horizon
• Number of claims and ruin time for a refracted risk process
• The Markovian regime-switching risk model with a threshold dividend strategy
• Recursive calculation of the dividend moments in a multi-threshold risk model
• “Recursive Calculation of the Dividend Moments in a Multi-Threshold Risk Model,” Andrei Badescu and David Landriault, January 2008
• The Markov additive risk process under an Erlangized dividend barrier strategy
• On a perturbed MAP risk model under a threshold dividend strategy
• Gerber-Shiu analysis with two-sided acceptable levels
• On the occupation times in a delayed Sparre Andersen risk model with exponential claims
• An insurance risk process with a generalized income process: a solvency analysis
• The Time to Ruin in Some Additive Risk Models with Random Premium Rates
• Threshold dividend strategies for a Markov-additive risk model
• Analysis of a generalized penalty function in a semi-Markovian risk model
• On the analysis of a multi-threshold Markovian risk model
• Title not available (Why is that?)
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Analysis of risk models using a level crossing technique
• The dual risk model under a mixed ratcheting and periodic dividend strategy
• Dependent Risk Models with Bivariate Phase-Type Distributions

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