Analysis of risk models using a level crossing technique

DOI10.1016/J.INSMATHECO.2011.05.005zbMATH Open1284.91210OpenAlexW1970155616MaRDI QIDQ654805FDOQ654805

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

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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)

Cites Work

• The System Point Method in Exponential Queues: A Level Crossing Approach
• Level crossing methods in stochastic models
• The Markovian regime-switching risk model with a threshold dividend strategy
• The compound Poisson risk model with multiple thresholds
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Time Value of Ruin
• On up- and downcrossings
• Level Crossings in Point Processes Applied to Queues: Single-Server Case
• Strategies for Dividend Distribution: A Review
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Analysis of a threshold dividend strategy for a MAP risk model
• Some Optimal Dividends Problems
• Single-Server with Delay-Dependent Arrival Streams
• The expected time to ruin in a risk process with constant barrier via martingales
• Characterizations of generalized hyperexponential distribution functions
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The compound Poisson risk model with a threshold dividend strategy
• On the analysis of a multi-threshold Markovian risk model
• Approximation with generalized hyperexponential distributions: Weak convergence results
• A note on generalized hyperexponential distributions
• An EOQ Model with Random Variations in Demand
• Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model
• Compound Cycle of a Renewal Process and Applications

Cited In (5)

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

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