Analysis of a threshold dividend strategy for a MAP risk model

DOI10.1080/03461230701396474MaRDI QIDQ3608224zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

correlated claimsfluid queuesLaplace-Stieltjes transformMarkovian arrival processphase-type distributionSparre Andersen risk modelsurplus process

Mathematics Subject Classification ID

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Cites work

• Efficient algorithms for transient analysis of stochastic fluid flow models
• scientific article; zbMATH DE number 194776 (Why is no real title available?)
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• On a class of renewal risk models with a constant dividend barrier
• On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• Passage times in fluid models with application to risk processes
• Risk processes analyzed as fluid queues
• Some Optimal Dividends Problems
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The compound Poisson risk model with a threshold dividend strategy
• The expected time to ruin in a risk process with constant barrier via martingales
• The surplus prior to ruin and the deficit at ruin for a correlated risk process
• Transient Analysis of Fluid Flow Models via Stochastic Coupling to a Queue
• Transient Analysis of Fluid Models via Elementary Level-Crossing Arguments

Cited in

(22)

• The Markovian regime-switching risk model with a threshold dividend strategy
• Threshold dividend strategies for a Markov-additive risk model
• Number of claims and ruin time for a refracted risk process
• An insurance risk process with a generalized income process: a solvency analysis
• Compound binomial model with batch Markovian arrival process
• Gerber-Shiu analysis with two-sided acceptable levels
• On the occupation times in a delayed Sparre Andersen risk model with exponential claims
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• The Markov additive risk process under an Erlangized dividend barrier strategy
• On the analysis of a multi-threshold Markovian risk model
• Dependent Risk Models with Bivariate Phase-Type Distributions
• On a perturbed MAP risk model under a threshold dividend strategy
• The Time to Ruin in Some Additive Risk Models with Random Premium Rates
• Recursive calculation of the dividend moments in a multi-threshold risk model
• Moments of discounted dividends for a threshold strategy in the compound Poisson risk model
• “Recursive Calculation of the Dividend Moments in a Multi-Threshold Risk Model,” Andrei Badescu and David Landriault, January 2008
• Analysis of a generalized penalty function in a semi-Markovian risk model
• scientific article; zbMATH DE number 7113161 (Why is no real title available?)
• The dual risk model under a mixed ratcheting and periodic dividend strategy
• Analysis of risk models using a level crossing technique
• Dividends in finite time horizon
• Double-sided queues and their applications to vaccine inventory management

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