Perturbed MAP Risk Models with Dividend Barrier Strategies

DOI10.1239/jap/1245676104zbMath1180.60071OpenAlexW2075917219MaRDI QIDQ5321766

Eric C. K. Cheung, David Landriault

Publication date: 15 July 2009

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1245676104

zbMATH Keywords

perturbed processGerber-Shiu functionbarrier strategyMarkovian arrivaldiscounted dividend payment

Mathematics Subject Classification ID

Related Items (25)

A note on some joint distribution functions involving the time of ruin ⋮ Ruin probabilities for risk process in a regime-switching environment ⋮ The Markov additive risk process under an Erlangized dividend barrier strategy ⋮ Markov-dependent risk model with multi-layer dividend strategy ⋮ The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula ⋮ On a perturbed MAP risk model under a threshold dividend strategy ⋮ Some ruin problems for the MAP risk model ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ A ruin model with a resampled environment ⋮ The maximum severity of ruin in a perturbed risk process with Markovian arrivals ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model ⋮ On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy ⋮ On a perturbed Sparre Andersen risk model with dividend barrier and dependence ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ Delayed capital injections for a risk process with Markovian arrivals ⋮ Analysis of an aggregate loss model in a Markov renewal regime ⋮ Occupation times in the MAP risk model ⋮ Dividend Payments in a Risk Model Perturbed by Diffusion with Multiple Thresholds ⋮ An insurance risk process with a generalized income process: a solvency analysis ⋮ On a Generalization of the Risk Model with Markovian Claim Arrivals ⋮ A Markov Additive Risk Process with a Dividend Barrier ⋮ Unnamed Item ⋮ Analysis of a MAP Risk Model with Stochastic Incomes, Inter-Dependent Phase-Type Claims and a Constant Barrier ⋮ Gerber-Shiu analysis with two-sided acceptable levels

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the discounted penalty function in a Markov-dependent risk model
• Passage times in fluid models with application to risk processes
• Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
• Ruin theory for a Markov regime-switching model under a threshold dividend strategy
• On the time to ruin for Erlang(2) risk processes.
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• Transient Analysis of Fluid Models via Elementary Level-Crossing Arguments
• On the analysis of a multi-threshold Markovian risk model
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Risk theory in a Markovian environment
• Risk processes analyzed as fluid queues
• Optimal Dividends
• On the Time Value of Ruin

This page was built for publication: Perturbed MAP Risk Models with Dividend Barrier Strategies