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

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

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Cites work

scientific article; zbMATH DE number 3431646 (Why is no real title available?)
scientific article; zbMATH DE number 5209826 (Why is no real title available?)
A multi-dimensional martingale for Markov additive processes and its applications
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
A versatile Markovian point process
First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type
Ladder heights and the Markov-modulated M/G/1 queue
Marked point processes as limits of Markovian arrival streams
New results on the single server queue with a batch markovian arrival process
On a generalization of the Gerber-Shiu function to path-dependent penalties
On the Time Value of Ruin
On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
On the expected discounted penalty function for Lévy risk processes
On the joint distribution of surplus before and after ruin under a Markovian regime switching model
Risk processes analyzed as fluid queues
Ruin probabilities
The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
The Time Value of Ruin in a Sparre Andersen 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
The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.

Cited in

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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

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