Analysis of some ruin-related quantities in a Markov-modulated risk model

DOI10.1080/15326349.2015.1121399zbMath1344.60075OpenAlexW2310994442MaRDI QIDQ3186003

Jingchao Li, David C. M. Dickson, Shuanming Li

Publication date: 8 August 2016

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/120635

zbMATH Keywords

Laplace transformprobability generating functionMarkov-modulated risk model

Mathematics Subject Classification ID

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Cites Work

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• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
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• On the severity of ruin in a Markov-modulated risk model
• The Time Value of Ruin in a Sparre Andersen Model

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