On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends

DOI10.1016/J.CAM.2016.07.024zbMATH Open1354.91081OpenAlexW2503464622MaRDI QIDQ730544FDOQ730544

Authors: Mi Chen, Kam Pui Wat, Kam Chuen Yuen 

Publication date: 28 December 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.07.024

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zbMATH Keywords

generating functionexpected penalty functionrecursive formuladividendsemi-Markov risk model

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Cites Work

• The compound binomial risk model with time-correlated claims
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• On the discounted penalty function in a Markov-dependent risk model
• Survival probabilities in a discrete semi-Markov risk model
• Expected discounted dividends in a discrete semi-Markov risk model
• Analysis of a generalized penalty function in a semi-Markovian risk model
• Some results on the compound Markov binomial model
• Ruin Probabilities in the Compound Markov Binomial Model
• Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model
• The compound binomial model with randomized decisions on paying dividends
• Randomized dividends in the compound binomial model with a general premium rate
• The compound binomial model with randomly paying dividends to shareholders and policyholders
• A note on the compound binomial model with randomized dividend strategy
• The severity of ruin in a discrete semi-Markov risk model
• On the Distribution of the Surplus Prior to Ruin in a Discrete Semi-Markov Risk Model
• On a discrete-time risk model with delayed claims and dividends

Cited In (12)

• On a doubly reflected risk process with running maximum dependent reflecting barriers
• On the expected penalty functions in a discrete semi-Markov risk model
• On a discrete Markov-modulated risk model with random premium income and delayed claims
• The expected penalty function in a discrete Markov-modulated risk model
• The enumeration of spanning tree of weighted graphs
• On a discrete-time risk model with time-dependent claims and impulsive dividend payments
• On the expected discounted penalty function in a Markov-dependent risk model with a constant dividend barrier
• On a discrete-time risk model with random income and a constant dividend barrier
• Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm
• The dividend problems for a discrete Markov risk model with stochastic return
• Expected discounted dividends in a discrete semi-Markov risk model
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model

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