The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times

DOI10.1016/j.amc.2010.01.068zbMath1202.91129MaRDI QIDQ963936

Rong Wu, Jiandong Ren, Qing-bin Meng, Min Song

Publication date: 14 April 2010

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

Full work available at URL: https://doi.org/10.1016/j.amc.2010.01.068

zbMATH Keywords

Markov process; phase-type distribution; time of ruin; Gerber-Shiu discounted penalty function; Sparre Anderson risk process

Mathematics Subject Classification ID

60K15: Markov renewal processes, semi-Markov processes

Related Items

Dividend Payments in a Risk Model Perturbed by Diffusion with Multiple Thresholds, Markov-dependent risk model with multi-layer dividend strategy, The discounted penalty function with multi-layer dividend strategy in the phase-type risk model, On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues, A matrix operator approach to a risk model with two classes of claims, On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation, The phase-type risk model perturbed by diffusion under a threshold dividend strategy, On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing, On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process, Lévy Processes, Phase-Type Distributions, and Martingales

Cites Work

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