Ruin analysis of a threshold strategy in a discrete-time Sparre Andersen model

DOI10.1007/S11009-010-9184-9MaRDI QIDQ429984zbMATH OpenOpenAlexFDO

Authors Steve Derkic, Ana Maria Mera

Publication date 20 June 2012

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-010-9184-9

zbMATH Keywords

matrix analytic methodsdiscrete timethreshold levelrandomized dividendsSparre Andersen model

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites work

• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
• A note on the compound binomial model with randomized dividend strategy
• A risk model with paying dividends and random environment
• Algorithmic Analysis of the Sparre Andersen Model in Discrete Time
• Markov chain representations of discrete distributions applied to queueing models
• Randomized dividends in the compound binomial model with a general premium rate
• Ruin probabilities in the discrete time renewal risk model
• Some Optimal Dividends Problems
• The compound binomial model with randomized decisions on paying dividends

Cited in

(4)

• Analysis on the ruin time of risk models with phase-type claims under a threshold dividend strategy
• Analysis of the ruin time of threshold dividend strategy risk model under stochastic environment
• A threshold-based risk process with a waiting period to pay dividends
• Algorithmic Analysis of the Sparre Andersen Model in Discrete Time

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