Analysis of a generalized penalty function in a semi-Markovian risk model
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Cites work
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- Analysis of a threshold dividend strategy for a MAP risk model
- Dependent Risk Models with Bivariate Phase-Type Distributions
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- Erlangian Approximations for Finite-Horizon Ruin Probabilities
- Gerber-Shiu analysis with a generalized penalty function.
- scientific article; zbMATH DE number 194776 (Why is no real title available?)
- Introduction to Matrix Analytic Methods in Stochastic Modeling
- Loss Models
- Moments of the dividend payments and related problems in a Markov-modulated risk model
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- On the discounted penalty function in a Markov-dependent risk model
- On the discounted penalty function in the renewal risk model with general interclaim times
- On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
- On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
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- On the Time Value of Ruin
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- Risk processes analyzed as fluid queues
- Risk theory in a Markovian environment
- Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
- The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
- Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
Cited in
(15)- Survival probabilities in a discrete semi-Markov risk model
- A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
- On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
- A unified analysis of claim costs up to ruin in a Markovian arrival risk model
- Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
- The Gerber-Shiu discounted penalty function: a review from practical perspectives
- On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
- Markov-dependent risk model with multi-layer dividend strategy
- A note on a discrete time MAP risk model
- Criterion of semi-Markov dependent risk model
- Ruin probabilities for risk process in a regime-switching environment
- Gerber-Shiu analysis with a generalized penalty function.
- A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
- On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends
- On the discounted penalty function in a Markov-dependent risk model
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