On the Distribution of the Surplus Prior to Ruin in a Discrete Semi-Markov Risk Model

DOI10.2143/AST.31.2.1005zbMath1098.60516OpenAlexW2113255404MaRDI QIDQ4661640

Mohammed Snoussi, Jean-Marie Reinhard

Publication date: 30 March 2005

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.31.2.1005

zbMATH Keywords

surplus prior to ruinprobability of ruinstable algorithmrecursive calculation

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Related Items (10)

Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm ⋮ Survival probabilities in a discrete semi-Markov risk model ⋮ Constant barrier strategies in a two-state Markov-modulated dual risk model ⋮ Criterion of semi-Markov dependent risk model ⋮ Expected discounted dividends in a discrete semi-Markov risk model ⋮ On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends ⋮ A monotonically converging algorithm for the severity of ruin in a discrete semi-markov risk model ⋮ An HMM approach for optimal investment of an insurer ⋮ Some results on the compound Markov binomial model ⋮ On the probability of ruin in a Markov-modulated risk model

Cites Work

• Aspects of risk theory
• A classification of a random walk defined on a finite Markov chain
• Unnamed Item

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