Analysis of a threshold dividend strategy for a MAP risk model

DOI10.1080/03461230701396474zbMath1164.91024OpenAlexW2105980583MaRDI QIDQ3608224

Steve Drekic, David Landriault, Andrei L. Badescu

Publication date: 28 February 2009

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230701396474

zbMATH Keywords

Laplace-Stieltjes transformphase-type distributionfluid queuesMarkovian arrival processsurplus processSparre Andersen risk modelcorrelated claims

Mathematics Subject Classification ID

Related Items (17)

The Markov additive risk process under an Erlangized dividend barrier strategy ⋮ On the occupation times in a delayed Sparre Andersen risk model with exponential claims ⋮ On a perturbed MAP risk model under a threshold dividend strategy ⋮ Threshold dividend strategies for a Markov-additive risk model ⋮ The dual risk model under a mixed ratcheting and periodic dividend strategy ⋮ Compound binomial model with batch Markovian arrival process ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ Analysis of risk models using a level crossing technique ⋮ Number of claims and ruin time for a refracted risk process ⋮ An insurance risk process with a generalized income process: a solvency analysis ⋮ Dependent Risk Models with Bivariate Phase-Type Distributions ⋮ The Markovian regime-switching risk model with a threshold dividend strategy ⋮ Recursive Calculation of the Dividend Moments in a Multi-threshold Risk Model ⋮ Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model ⋮ “Recursive Calculation of the Dividend Moments in a Multi-Threshold Risk Model,” Andrei Badescu and David Landriault, January 2008 ⋮ Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model ⋮ Gerber-Shiu analysis with two-sided acceptable levels

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