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

DOI10.1016/J.INSMATHECO.2005.06.007zbMATH Open1129.91023OpenAlexW2168342347MaRDI QIDQ817299FDOQ817299

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

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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)

Cites Work

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Cited In (75)

• Cox risk model with correlated classes of business
• On an insurance ruin model with a causal dependence structure and perturbation
• On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models
• “On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals,” Jiandong Ren, April 2008
• The Time to Ruin in Some Additive Risk Models with Random Premium Rates
• Inequalities on the ruin probability for light-tailed distributions with some restrictions
• On the discounted penalty function in a Cox risk model
• Investigation a dependent generalized compound renewal risk process involving the uniformly bounded copula function
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Identifying the generator matrix of a stationary Markov chain using partially observable data
• Taboo rate and hitting time distribution of continuous-time reversible Markov chains
• A risk model based on Markov chains with marked transitions
• Total duration of negative surplus for an MAP risk model
• A perturbed risk model with dependence between premium rates and claim sizes
• An algebraic operator approach to the analysis of Gerber-Shiu functions
• The discounted penalty function with multi-layer dividend strategy in the phase-type risk model
• Occupation times in the MAP risk model
• Asymptotics in a time-dependent renewal risk model with stochastic return
• The Gerber-Shiu penalty functions for two classes of renewal risk processes
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• On the expected penalty functions in a discrete semi-Markov risk model
• The Markovian regime-switching risk model with a threshold dividend strategy
• Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
• Perturbed MAP Risk Models with Dividend Barrier Strategies
• The distribution of total dividend payments in a Sparre Andersen model
• Queues and Risk Processes with Dependencies
• On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends
• Ruin probabilities in classical risk models with gamma claims
• The Markov additive risk process under an Erlangized dividend barrier strategy
• Gerber-Shiu analysis of a risk model with capital injections
• On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
• Markov-dependent risk model with multi-layer dividend strategy
• Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts
• On a perturbed MAP risk model under a threshold dividend strategy
• Some ruin problems for the MAP risk model
• On a risk model with Markovian arrivals and tax
• The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process
• On the total operating costs up to default in a renewal risk model
• When does surplus reach a given target before ruin in the Markov-modulated diffusion model?
• The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model
• The risk model with stochastic premiums, dependence and a threshold dividend strategy
• On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
• A note on a discrete time MAP risk model
• The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
• On the Gerber-Shiu discounted penalty function in a risk model with delayed claims
• The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims
• On a multi-dimensional risk model with regime switching
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• On the ruin problem in a Markov-modulated risk model
• Queueing and risk models with dependencies
• Survival probabilities in a discrete semi-Markov risk model
• A ruin model with compound Poisson income and dependence between claim sizes and claim intervals
• Criterion of semi-Markov dependent risk model
• On the Markov-dependent risk model with tax
• Analysis of the multiple roots of the Lundberg fundamental equation in the PH(\(n\)) risk model
• A multivariate aggregate loss model
• A risk model with multilayer dividend strategy
• Analysis of a generalized penalty function in a semi-Markovian risk model
• Extremes on the discounted aggregate claims in a time dependent risk model
• Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps
• On a renewal risk process with dependence under a Farlie-Gumbel-Morgenstern copula
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• 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
• A Markovian growth-collapse model
• On dividends in the phase-type dual risk model
• On the evaluation of finite-time ruin probabilities in a dependent risk model
• The phase-type risk model perturbed by diffusion under a threshold dividend strategy
• On a Generalization of the Risk Model with Markovian Claim Arrivals
• The use of vector-valued martingales in risk theory
• Ruin problems in a discrete Markov risk model
• “The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model,” Jiandong Ren, July 2007
• The time of recovery and the maximum severity of ruin in a Sparre Andersen model

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