Risk processes analyzed as fluid queues

DOI10.1080/03461230410000565zbMath1092.91037OpenAlexW2096512426MaRDI QIDQ5467653

Andrei L. Badescu, David A. Stanford, Guy Latouche, Ana Da Silva Soares, Marie-Ange Remiche, Lothar Breuer

Publication date: 24 May 2006

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230410000565

zbMATH Keywords

ruin probabilityfluid queuesmatrix-analytic methodrisk processestime until ruincorrelated claims

Mathematics Subject Classification ID

Related Items (48)

A note on some joint distribution functions involving the time of ruin ⋮ Markov-modulated fluid flow model with server maintenance period ⋮ The Markov additive risk process under an Erlangized dividend barrier strategy ⋮ On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ On a class of dependent Sparre Andersen risk models and a bailout application ⋮ On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals ⋮ Parisian types of ruin probabilities for a class of dependent risk-reserve processes ⋮ Perturbed MAP Risk Models with Dividend Barrier Strategies ⋮ Matrix-analytic methods for the analysis of stochastic fluid-fluid models ⋮ Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier ⋮ On a perturbed MAP risk model under a threshold dividend strategy ⋮ The stochastic fluid-fluid model: a stochastic fluid model driven by an uncountable-state process, which is a stochastic fluid model itself ⋮ \(V\)-uniform ergodicity for fluid queues ⋮ Some ruin problems for the MAP risk model ⋮ Erlangian Approximations for the Transient Analysis of a Fluid Queue Model for Forest Fire Perimeter ⋮ Duality in ruin problems for ordered risk models ⋮ On the generalized reward generator for stochastic fluid models: A new equation for Ψ ⋮ The time to ruin and the number of claims until ruin for phase-type claims ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type ⋮ A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model ⋮ On the absolute ruin in a MAP risk model with debit interest ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ Delayed capital injections for a risk process with Markovian arrivals ⋮ The use of vector-valued martingales in risk theory ⋮ A quintuple law for Markov additive processes with phase-type jumps ⋮ Maximum level and hitting probabilities in stochastic fluid flows using matrix differential Riccati equations ⋮ A Stochastic Two-Dimensional Fluid Model ⋮ The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach ⋮ The surplus prior to ruin and the deficit at ruin for a correlated risk process ⋮ The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model ⋮ Analysis of a threshold dividend strategy for a MAP risk model ⋮ On the analysis of a multi-threshold Markovian risk model ⋮ A generalised Gerber–Shiu measure for Markov-additive risk processes with phase-type claims and capital injections ⋮ Dependent Risk Models with Bivariate Phase-Type Distributions ⋮ The Moments of the Time of Ruin in Markovian Risk Models ⋮ On a Generalization of the Risk Model with Markovian Claim Arrivals ⋮ Perturbed Risk Processes Analyzed as Fluid Flows ⋮ Taboo probability on a simple fluid flow model ⋮ Risk Processes with Interest Force in Markovian Environment ⋮ Analysis of a MAP Risk Model with Stochastic Incomes, Inter-Dependent Phase-Type Claims and a Constant Barrier ⋮ Singularly Perturbed Markov Modulated Fluid Queues ⋮ Erlangian approximation to finite time ruin probabilities in perturbed risk models ⋮ Ruin time and aggregate claim amount up to ruin time for the perturbed risk process ⋮ Ruin probabilities in models with a Markov chain dependence structure ⋮ Recursive Calculation of the Dividend Moments in a Multi-threshold Risk Model ⋮ Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model ⋮ On the discounted penalty function in a Markov-dependent risk model

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