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A state dependent reinsurance model (Q2397864)

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Language	Label	Description	Also known as
English	A state dependent reinsurance model	scientific article

Statements

scholarly article

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A state dependent reinsurance model (English)

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Insurance Mathematics \& Economics

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publication date

24 May 2017

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full work available at URL

https://research.tue.nl/nl/publications/a-state-dependent-reinsurance-model(5e4390cc-99c6-4bc3-968f-8ebc50b5932c).html

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zbMATH Keywords

reinsurance

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time to ruin

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deficit at ruin

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dividend

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state dependence

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MaRDI profile type

MaRDI publication profile

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The G/M/1 queue revisited

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A two-dimensional ruin problem on the positive quadrant

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A Two-Dimensional Risk Model with Proportional Reinsurance

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Queues and Risk Models with Simultaneous Arrivals

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Two parallel insurance lines with simultaneous arrivals and risks correlated with inter-arrival times

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Queues with workload-dependent arrival and service rates

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On the ruin time distribution for a Sparre Andersen process with exponential claim sizes

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A NEW LOOK AT ORGAN TRANSPLANTATION MODELS AND DOUBLE MATCHING QUEUES

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A reinsurance risk model with a threshold coverage policy: the Gerber–Shiu penalty function

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ON/OFF STORAGE SYSTEMS WITH STATE-DEPENDENT INPUT, OUTPUT, AND SWITCHING RATES

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Threshold strategies for risk processes and their relation to queueing theory

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A make-to-stock mountain-type inventory model

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On the Cycle Maximum of Mountains, Dams and Queues

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The \(M/G/1+G\) queue revisited

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FLUID QUEUES AND MOUNTAIN PROCESSES

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Level crossing methods in stochastic models

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Level Crossings in Point Processes Applied to Queues: Single-Server Case

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Multivariate risk model of phase type

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Dependence properties and bounds for ruin probabilities in multivariate compound risk models

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Some results on ruin probabilities in a two-dimensional risk model.

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On up- and downcrossings

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The time to ruin and the number of claims until ruin for phase-type claims

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Recursive methods for a multi-dimensional risk process with common shocks

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The Stationary Distribution and First Exit Probabilities of a Storage Process with General Release Rule

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The Recurrence Classification of Risk and Storage Processes

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A bivariate risk model with mutual deficit coverage

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Dam processes with state dependent batch sizes and intermittent production processes with state dependent rates

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On a duality between a non-Markoyian storage/production process and a Markovian dam process with state-dependent input and output

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Refracted Lévy processes

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The compound Poisson risk model with a threshold dividend strategy

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Generalizations of the Pollaczek-Khinchin integral equation in the theory of queues

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Rejection rules in the \(M/G/1\) queue

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A mountain process with state dependent input and output and a correlated dam

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Duality of dams via mountain processes.

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A Duality Approach to Queues with Service Restrictions and Storage Systems with State-Dependent Rates

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Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion

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The Gerber-Shiu discounted penalty function for classical risk model with a two-step premium rate

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Identifiers

zbMATH Open document ID

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10.1016/j.insmatheco.2017.03.004

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2397864

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