Criterion of semi-Markov dependent risk model

DOI10.1007/S10114-014-3249-6zbMATH Open1312.60107OpenAlexW1995227631MaRDI QIDQ477832FDOQ477832

Authors: Xiangqun Yang, Xiaoyun Mo 

Publication date: 10 December 2014

Published in: Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-014-3249-6

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zbMATH Keywords

Markov chainMarkov dependent risk modelsemi-Markov dependent risk model

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov renewal processes, semi-Markov processes (60K15) Stochastic models in economics (91B70)

Cites Work

• The Time Value of Ruin in a Sparre Andersen Model
• Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times
• Single-server queue with Markov-dependent inter-arrival and service times
• On ruin for the Erlang \((n)\) risk process
• Risk theory in a Markovian environment
• On the discounted penalty function in a Markov-dependent risk model
• Analysis of a generalized penalty function in a semi-Markovian risk model
• Semi-Markov Risk Models for Finance, Insurance and Reliability
• A ruin model with dependence between claim sizes and claim intervals
• The severity of ruin in Markov-modulated risk models
• Stationary semi-Markov models in risk and queueing theories
• The severity of ruin in a discrete semi-Markov risk model
• On the Distribution of the Surplus Prior to Ruin in a Discrete Semi-Markov Risk Model
• An application of semi-Markovian models to the ruin problem
• The probability of ruin in a discrete semi-Markov risk model
• On a general class of renewal risk process: analysis of the Gerber-Shiu function

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