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

DOI10.1016/J.INSMATHECO.2009.07.009zbMATH Open1231.91156OpenAlexW1996097088MaRDI QIDQ659191FDOQ659191

Authors: 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

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zbMATH Keywords

Markovian arrival processgeneralized penalty functiondiscounted joint distributionmaximum surplus level before ruin

Mathematics Subject Classification ID

Cites Work

• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Title not available (Why is that?)
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• On a generalization of the Gerber-Shiu function to path-dependent penalties
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Perturbed MAP Risk Models with Dividend Barrier Strategies
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• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
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• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
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• Title not available (Why is that?)
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Analysis of a defective renewal equation arising in ruin theory
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• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• A quintuple law for Markov additive processes with phase-type jumps
• Moments of the dividend payments and related problems in a Markov-modulated risk model
• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model

Cited In (24)

• A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion
• Total duration of negative surplus for an MAP risk model
• A make-to-stock production/inventory model with MAP arrivals and phase-type demands
• The maximum surplus in a finite-time interval for a discrete-time risk model with exchangeable, dependent claim occurrences
• Analysis of an aggregate loss model in a Markov renewal regime
• The Markov additive risk process under an Erlangized dividend barrier strategy
• On a risk model with surplus-dependent premium and tax rates
• On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
• On a perturbed MAP risk model under a threshold dividend strategy
• On a risk model with Markovian arrivals and tax
• Gerber-Shiu analysis with two-sided acceptable levels
• A note on a discrete time MAP risk model
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
• On the absolute ruin in a map risk model with debit interest
• Analysis of a generalized penalty function in a semi-Markovian risk model
• Maximum surplus and \(R_n\) class of distributions with an application to dividends
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Potential measures for spectrally negative Markov additive processes with applications in ruin theory
• Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
• Analysis of a MAP risk model with stochastic incomes, inter-dependent phase-type claims and a constant barrier
• A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
• A two-dimensional risk model with proportional reinsurance
• On the dual risk model with Parisian implementation delays in dividend payments

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