Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model

DOI10.1080/10920277.2009.10597571zbMath1483.91182OpenAlexW1973762613MaRDI QIDQ5029088

David Landriault, Eric C. K. Cheung

Publication date: 11 February 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2009.10597571

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)

Related Items (11)

Ruin probabilities for risk process in a regime-switching environment ⋮ On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ Markov-dependent risk model with multi-layer dividend strategy ⋮ A note on a discrete time MAP risk model ⋮ Survival probabilities in a discrete semi-Markov risk model ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ Criterion of semi-Markov dependent risk model ⋮ A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium ⋮ On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends ⋮ Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times

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