A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model

DOI10.1016/j.insmatheco.2009.07.009zbMath1231.91156MaRDI QIDQ659191

Eric C. K. Cheung, David Landriault

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.07.009

zbMATH Keywords

Markovian arrival process; generalized penalty function; discounted joint distribution; maximum surplus level before ruin

Mathematics Subject Classification ID

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