Some ruin problems for the MAP risk model

DOI10.1016/J.INSMATHECO.2015.08.001MaRDI QIDQ896202zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• A versatile Markovian point process
• Discussion on “On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals,” by Jiandong Ren, Volume 12(2)
• First Passage of a Markov Additive Process and Generalized Jordan Chains
• How many claims does it take to get ruined and recovered?
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• On Markov-additive jump processes
• On the Laplace transform of the aggregate discounted claims with Markovian arrivals
• On the Ruin Problem of Collective Risk Theory
• On the analysis of a multi-threshold Markovian risk model
• 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
• Perturbed MAP Risk Models with Dividend Barrier Strategies
• Potential measures for spectrally negative Markov additive processes with applications in ruin theory
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• Risk processes analyzed as fluid queues
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• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• The maximum severity of ruin in a perturbed risk process with Markovian arrivals
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• “The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model,” Jiandong Ren, July 2007

Cited in

(19)

• 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
• A note on a discrete time MAP risk model
• 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
• scientific article; zbMATH DE number 1861530 (Why is no real title available?)
• On the absolute ruin in a map risk model with debit interest
• The moments of the time of ruin in Markovian risk models
• The mean chance of ultimate ruin time in random fuzzy insurance risk model
• Delayed capital injections for a risk process with Markovian arrivals
• Modeling the effect of spending on cyber security by using surplus process
• Distributional study of finite-time ruin related problems for the classical risk model
• The expected discounted penalty function: from infinite time to finite time

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