A generalised Gerber-Shiu measure for Markov-additive risk processes with phase-type claims and capital injections

DOI10.1080/03461238.2011.636969zbMATH Open1401.91103OpenAlexW2051113327MaRDI QIDQ4576841FDOQ4576841

Authors: Lothar Breuer, Andrei Badescu 

Publication date: 11 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2011.636969

Recommendations

• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• Phase-type approximations perturbed by a heavy-tailed component for the Gerber-shiu function of risk processes with two-sided jumps
• Gerber-Shiu analysis of a risk model with capital injections
• On a Generalization of the Risk Model with Markovian Claim Arrivals
• The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times

zbMATH Keywords

Gerber-Shiu functiontime value of ruincapital injectionsphase-typeMarkov-additive process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Brownian motion (60J65) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

• Ruin probabilities
• The Time Value of Ruin in a Sparre Andersen Model
• Ladder heights and the Markov-modulated M/G/1 queue
• New results on the single server queue with a batch markovian arrival process
• A multi-dimensional martingale for Markov additive processes and its applications
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• A versatile Markovian point process
• Marked point processes as limits of Markovian arrival streams
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• On the Time Value of Ruin
• On a generalization of the Gerber-Shiu function to path-dependent penalties
• Risk processes analyzed as fluid queues
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
• The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The surplus prior to ruin and the deficit at ruin for a correlated risk process
• A note on scale functions and the time value of ruin for Lévy insurance risk processes
• A quintuple law for Markov additive processes with phase-type jumps
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• On the expected discounted penalty function for Lévy risk processes
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (7)

• Gerber-Shiu analysis of a risk model with capital injections
• Phase-type approximations perturbed by a heavy-tailed component for the Gerber-shiu function of risk processes with two-sided jumps
• An insurance risk process with a generalized income process: a solvency analysis
• Sensitivity analysis of some applied probability models
• Delayed capital injections for a risk process with Markovian arrivals
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• On the lack of memory for distributions of overshoot functionals in the case of upper almost semicontinuous processes defined on a Markov chain

This page was built for publication: A generalised Gerber-Shiu measure for Markov-additive risk processes with phase-type claims and capital injections

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4576841)