Some ruin problems for the MAP risk model

DOI10.1016/J.INSMATHECO.2015.08.001zbMATH Open1348.91163OpenAlexW1143074037MaRDI QIDQ896202FDOQ896202

Authors: Jingchao Li, David C. M. Dickson, Shuanming Li 

Publication date: 14 December 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.08.001

Recommendations

• The moments of the time of ruin in Markovian risk models
• On the absolute ruin in a map risk model with debit interest
• On a Generalization of the Risk Model with Markovian Claim Arrivals
• scientific article; zbMATH DE number 7266452
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model

zbMATH Keywords

MAP risk modelnumber of claims until ruinfinite time ruin probabilitydensity of time of ruinmoments of time of ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Queueing theory (aspects of probability theory) (60K25)

Cites Work

• The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model
• How many claims does it take to get ruined and recovered?
• Ruin probabilities based at claim instants for some non-Poisson claim processes
• A versatile Markovian point process
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• On the Ruin Problem of Collective Risk Theory
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• Risk theory in a Markovian environment
• On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals
• Perturbed MAP Risk Models with Dividend Barrier Strategies
• Risk processes analyzed as fluid queues
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Potential measures for spectrally negative Markov additive processes with applications in ruin theory
• On the discounted penalty function in a Markov-dependent risk model
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• On the analysis of a multi-threshold Markovian 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
• First Passage of a Markov Additive Process and Generalized Jordan Chains
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
• The maximum severity of ruin in a perturbed risk process with Markovian arrivals
• Discussion on “On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals,” by Jiandong Ren, Volume 12(2)
• On Markov-additive jump processes

Cited In (16)

• Some state-specific exit probabilities in a Markov-modulated risk model
• On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates
• A new uncertain insurance model with variational lower limit
• A note on some joint distribution functions involving the time of ruin
• Analysis of some ruin-related quantities in a Markov-modulated risk model
• On a discrete interaction risk model with delayed claims and randomized dividends
• Banach contraction principle and ruin probabilities in regime-switching models
• Ruin-related problems in the dual risk model under two different randomized observations
• Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
• A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model
• Title not available (Why is that?)
• On the absolute ruin in a map risk model with debit interest
• The mean chance of ultimate ruin time in random fuzzy insurance risk model
• Modeling the effect of spending on cyber security by using surplus process
• The expected discounted penalty function: from infinite time to finite time
• Distributional study of finite-time ruin related problems for the classical risk model

This page was built for publication: Some ruin problems for the MAP risk model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q896202)