On a Generalization of the Risk Model with Markovian Claim Arrivals
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Publication:3094229
DOI10.1080/15326349.2011.593403zbMath1237.91124OpenAlexW2075926416MaRDI QIDQ3094229
Andrei L. Badescu, Eric C. K. Cheung, David Landriault
Publication date: 21 October 2011
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/135491
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Related Items (5)
On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes ⋮ Compound binomial model with batch Markovian arrival process ⋮ On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models ⋮ The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach
Cites Work
- On the discounted penalty function in a Markov-dependent risk model
- Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
- On the discounted penalty function in the renewal risk model with general interclaim times
- On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
- Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
- The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
- A versatile Markovian point process
- Stationary distributions for fluid flow models with or without brownian noise
- Transient Analysis of Fluid Flow Models via Stochastic Coupling to a Queue
- Markov-renewal fluid queues
- Risk theory in a Markovian environment
- Perturbed MAP Risk Models with Dividend Barrier Strategies
- Fitting combinations of exponentials to probability distributions
- Risk processes analyzed as fluid queues
- On the Time Value of Ruin
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