On a discrete risk model with two-sided jumps

DOI10.1016/J.CAM.2010.01.047zbMATH Open1188.91091OpenAlexW2042158933MaRDI QIDQ966097FDOQ966097

Authors: Hu Yang, Zhimin Zhang 

Publication date: 27 April 2010

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.2010.01.047

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zbMATH Keywords

generating functiondiscounted penalty functiondiscrete phase-type distributiondiscrete renewal risk model

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• The Time Value of Ruin in a Sparre Andersen Model
• Title not available (Why is that?)
• Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times
• On the Time Value of Ruin
• On ruin for the Erlang \((n)\) risk process
• A Review on Phase-type Distributions and their Use in Risk Theory
• Ruin problems in a discrete Markov risk model
• Discounted probabilities and ruin theory in the compound binomial model
• Ruin probabilities in the compound binomial model
• On a class of discrete time renewal risk models
• Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
• On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
• An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
• On a class of renewal risk model with random income
• The time to ruin for a class of Markov additive risk process with two-sided jumps
• Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model
• On the time to ruin and the deficit at ruin in a risk model with double-sided jumps
• Phase-type distributions and risk processes with state-dependent premiums

Cited In (6)

• The perturbed compound Poisson risk model with two-sided jumps
• On a class of stochastic models with two-sided jumps
• On a discrete risk model with delayed claims and a randomized dividend strategy
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
• A \(2\times 2\) random switching model and its dual risk model
• A generalized penalty function in the Sparre Andersen risk model with two-sided jumps

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