On the expected discounted penalty function in a Markov-dependent risk model with a constant dividend barrier

DOI10.1016/S0252-9602(10)60140-3MaRDI QIDQ717340zbMATH OpenOpenAlexFDO

Authors Juan Liu, Jiancheng Xu, Yijun Hu

Publication date 29 September 2011

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0252-9602(10)60140-3

zbMATH Keywords

Laplace transformintegro-differential equationsGerber-Shiu function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes (60J99)

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Cited in

(20)

• scientific article; zbMATH DE number 6613428 (Why is no real title available?)
• The expected penalty function in a discrete Markov-modulated risk model
• On the dividends of the risk model with Markovian barrier
• The Markov additive risk process under an Erlangized dividend barrier strategy
• Markov-dependent risk model with multi-layer dividend strategy
• Moments of the discounted dividends and related problems in a Markov-dependent risk model
• On a class of stationary renewal risk model with constant dividend barrier
• The Gerber-Shiu discounted penalty function of Markov-dependent risk model with a constant dividend barrier
• Regular kernel method for state space model
• A dependent insurance risk model with surrender and investment under the thinning process
• Ruin under stochastic dependence between premium and claim arrivals
• A perturbed Markov-modulated dual risk model with constant dividend barrier
• The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier
• scientific article; zbMATH DE number 5525889 (Why is no real title available?)
• Some results about the dividend-penalty identity
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• A Markov additive risk process with a dividend barrier
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
• Optimal dividend-penalty strategies for insurance risk models with surplus-dependent premiums

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