Analysis of risk models using a level crossing technique

DOI10.1016/J.INSMATHECO.2011.05.005MaRDI QIDQ654805zbMATH OpenOpenAlexFDO

Authors Percy H. Brill, Kaiqi Yu

Publication date 21 December 2011

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2011.05.005

zbMATH Keywords

deficit at ruindividend barrier or thresholdheavy-tailed claim sizeshyperexponential claim sizeslevel crossing methodtime until ruin

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
• scientific article; zbMATH DE number 3307211 (Why is no real title available?)
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• Characterizations of generalized hyperexponential distribution functions
• Compound Cycle of a Renewal Process and Applications
• Level Crossings in Point Processes Applied to Queues: Single-Server Case
• Level crossing methods in stochastic models
• Moments of the dividend payments and related problems in a Markov-modulated risk model
• On the Time Value of Ruin
• On the analysis of a multi-threshold Markovian risk model
• On up- and downcrossings
• Single-Server with Delay-Dependent Arrival Streams
• Some Optimal Dividends Problems
• Strategies for dividend distribution: a review
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• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The compound Poisson risk model with a threshold dividend strategy
• The compound Poisson risk model with multiple thresholds
• The expected time to ruin in a risk process with constant barrier via martingales
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin

Cited in

(5)

• Analysis of the stochastic cash balance problem using a level crossing technique
• Information reduction via level crossings in a credit risk models
• Stationary distribution of the surplus in a risk model with dividends and reinvestments
• Alternative analysis of finite-time probability distributions of renewal theory
• Note on the service time in an \(\mathrm{M}/\mathrm{G}/1\) queue with bounded workload

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