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

DOI10.1016/J.CAM.2016.07.024MaRDI QIDQ730544zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(12)

• On a doubly reflected risk process with running maximum dependent reflecting barriers
• On a discrete Markov-modulated risk model with random premium income and delayed claims
• On the expected penalty functions in a discrete semi-Markov risk model
• 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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