A generalised Gerber–Shiu measure for Markov-additive risk processes with phase-type claims and capital injections

DOI10.1080/03461238.2011.636969zbMath1401.91103OpenAlexW2051113327MaRDI QIDQ4576841

Andrei L. Badescu, Lothar Breuer

Publication date: 11 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2011.636969

zbMATH Keywords

capital injectionsGerber-Shiu functiontime value of ruinphase-typeMarkov-additive process

Mathematics Subject Classification ID

Related Items (5)

Sensitivity analysis of some applied probability models ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps ⋮ An insurance risk process with a generalized income process: a solvency analysis ⋮ On the lack of memory for distributions of overshoot functionals in the case of upper almost semicontinuous processes defined on a Markov chain

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