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

DOI10.1016/J.INSMATHECO.2009.07.009MaRDI QIDQ659191zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Markovian arrival processgeneralized penalty functiondiscounted joint distributionmaximum surplus level before ruin

Mathematics Subject Classification ID

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Cites work

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• Introduction to Matrix Analytic Methods in Stochastic Modeling
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• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems

Cited in

(24)

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

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