On the discounted penalty function in a Markov-dependent risk model

DOI10.1016/J.INSMATHECO.2005.06.007MaRDI QIDQ817299zbMATH OpenOpenAlexFDO

Authors Hansjörg Albrecher, Onno Boxma

Publication date 8 March 2006

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.06.007

zbMATH Keywords

dependenceclassical risk modelsurplus before ruindeficit at ruintime of ruinSparre Andersen model

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

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Cited in

(75)

• Taboo rate and hitting time distribution of continuous-time reversible Markov chains
• The time of recovery and the maximum severity of ruin in a Sparre Andersen model
• Total duration of negative surplus for an MAP risk model
• A risk model based on Markov chains with marked transitions
• A perturbed risk model with dependence between premium rates and claim sizes
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