On a class of dependent Sparre Andersen risk models and a bailout application

DOI10.1016/J.INSMATHECO.2016.08.001zbMath1371.91078OpenAlexW2517582082MaRDI QIDQ2374094

Andrei L. Badescu, Landy Rabehasaina, Florin Avram, Martijn R. Pistorius

Publication date: 14 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/38670

zbMATH Keywords

phase-type distributionruin probabilitybusy periodbailout strategySparre Andersen dependence structure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (2)

Parisian types of ruin probabilities for a class of dependent risk-reserve processes ⋮ On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications

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