Survival probabilities in a discrete semi-Markov risk model

DOI10.1016/J.AMC.2014.01.057zbMath1410.91260OpenAlexW2035989401MaRDI QIDQ1646093

Mi Chen, Jun-Yi Guo, Kam-Chuen Yuen

Publication date: 22 June 2018

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

Full work available at URL: https://doi.org/10.1016/j.amc.2014.01.057

zbMATH Keywords

generating functionsurvival probabilityrecursive formulasemi-Markov risk model

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (8)

Markov-dependent risk model with multi-layer dividend strategy ⋮ A note on a discrete time MAP risk model ⋮ Statistical inference for partially observed Markov-modulated diffusion risk model ⋮ A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model ⋮ On a discrete Markov-modulated risk model with random premium income and delayed claims ⋮ On a discrete-time risk model with time-dependent claims and impulsive dividend payments ⋮ On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends ⋮ On a discrete risk model with delayed claims and a randomized dividend strategy

Cites Work

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• The Markovian regime-switching risk model with a threshold dividend strategy
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• A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
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• The compound binomial model with randomized decisions on paying dividends
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• Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model
• On the severity of ruin in a Markov-modulated risk model
• Ruin Probabilities in the Compound Markov Binomial Model

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