On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model

DOI10.1016/j.amc.2014.09.059zbMath1338.60219OpenAlexW2066028765MaRDI QIDQ297901

Luyin Liu, Eric C. K. Cheung

Publication date: 17 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.amc.2014.09.059

zbMATH Keywords

Gerber-Shiu functiondual risk modelgeneralized penalty functionlast inter-arrival timeperpetual insurancesemi-Markovian risk process

Mathematics Subject Classification ID

Related Items (5)

Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects ⋮ On a time-changed Lévy risk model with capital injections and periodic observation ⋮ Asynchronous dissipative control design for semi-Markovian jump systems with uncertain probability distribution functions of sojourn-time ⋮ On the dual risk model with Parisian implementation delays in dividend payments ⋮ ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS

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