Total duration of negative surplus for an MAP risk model

DOI10.1007/s11766-015-3260-4zbMath1349.91133OpenAlexW2368540116MaRDI QIDQ530736

Hua Dong, Xianghua Zhao

Publication date: 10 August 2016

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-015-3260-4

zbMATH Keywords

Markovian arrival processdeficittotal duration of negative surplus

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25)

Cites Work

• Duration of negative surplus for a two state Markov-modulated risk model
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• When does the surplus reach a given target?
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• How long is the surplus below zero?
• On occupation times for a risk process with reserve-dependent premium
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• Total duration of negative surplus for the dual model
• On the distribution of the duration of negative surplus
• Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion