On the analysis of a multi-threshold Markovian risk model

DOI10.1080/03461230701554080zbMath1164.91025OpenAlexW2059821237MaRDI QIDQ3608225

Andrei L. Badescu, Steve Drekic, David Landriault

Publication date: 28 February 2009

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

Full work available at URL: https://doi.org/10.1080/03461230701554080

zbMATH Keywords

Laplace-Stieltjes transformphase-type distributionMarkovian arrival processSparre Andersen risk modelmulti-threshold Markovian risk model

Mathematics Subject Classification ID

Related Items (21)

Perturbed MAP Risk Models with Dividend Barrier Strategies ⋮ Drawdown analysis for the renewal insurance risk process ⋮ On a perturbed MAP risk model under a threshold dividend strategy ⋮ Threshold dividend strategies for a Markov-additive risk model ⋮ Some ruin problems for the MAP risk model ⋮ A MAP-modulated fluid flow model with multiple vacations ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ Analysis of risk models using a level crossing technique ⋮ On the dual risk model with tax payments ⋮ A Markov‐modulated fluid flow queueing model under D‐policy ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ Delayed capital injections for a risk process with Markovian arrivals ⋮ Analysis of an aggregate loss model in a Markov renewal regime ⋮ The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach ⋮ A threshold policy in a Markov-modulated production system with server vacation: the case of continuous and batch supplies ⋮ A renewal jump-diffusion process with threshold dividend strategy ⋮ Steady-state and first passage time distributions for waiting times in the \(MAP/M/s+G\) queueing model with generally distributed patience times ⋮ The risk model with stochastic premiums and a multi-layer 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 ⋮ Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model

Cites Work

• Unnamed Item
• Passage times in fluid models with application to risk processes
• Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
• On a class of renewal risk models with a constant dividend barrier
• The compound Poisson risk model with a threshold dividend strategy
• The expected time to ruin in a risk process with constant barrier via martingales
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Some Optimal Dividends Problems
• The surplus prior to ruin and the deficit at ruin for a correlated risk process
• Risk processes analyzed as fluid queues
• Efficient algorithms for transient analysis of stochastic fluid flow models
• On the Time Value of Ruin

This page was built for publication: On the analysis of a multi-threshold Markovian risk model