On a discrete risk model with two-sided jumps

DOI10.1016/J.CAM.2010.01.047MaRDI QIDQ966097zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

generating functiondiscounted penalty functiondiscrete phase-type distributiondiscrete renewal risk model

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3736680 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• A Review on Phase-type Distributions and their Use in Risk Theory
• An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
• Discounted probabilities and ruin theory in the compound binomial model
• Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model
• On a class of discrete time renewal risk models
• On a class of renewal risk model with random income
• On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
• On ruin for the Erlang \((n)\) risk process
• On the Time Value of Ruin
• 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
• Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times
• Ruin probabilities in the compound binomial model
• Ruin problems in a discrete Markov risk model
• The Time Value of Ruin in a Sparre Andersen Model
• The time to ruin for a class of Markov additive risk process with two-sided jumps

Cited in

(6)

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

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