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

DOI10.1016/S0252-9602(10)60140-3zbMATH Open1237.62157OpenAlexW2039848589MaRDI QIDQ717340FDOQ717340

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

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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)

Cited In (20)

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• The expected penalty function in a discrete Markov-modulated risk model
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• 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
• Regular kernel method for state space model
• The Gerber-Shiu discounted penalty function of Markov-dependent risk model with a constant dividend barrier
• Ruin under stochastic dependence between premium and claim arrivals
• A dependent insurance risk model with surrender and investment under the thinning process
• 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
• Title not available (Why is that?)
• 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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