Analysis of the multiple roots of the Lundberg fundamental equation in the PH (n) risk model

DOI10.1002/asmb.899zbMath1286.91067OpenAlexW2163923780MaRDI QIDQ5414498

Lanpeng Ji, Chun-sheng Zhang

Publication date: 6 May 2014

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.899

zbMATH Keywords

eigenvectorsmultiple rootslinear independenceGerber-Shiu penalty functionLundberg fundamental equationPH(\(n\)) risk model

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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The Markov additive risk process under an Erlangized dividend barrier strategy, Ruin problems in the generalized Erlang(\(n\)) risk model, Periodic threshold-type dividend strategy in the compound Poisson risk model, SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL, Further developments in the Erlang(n) risk process, On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes, Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times, Goodness-of-fit tests and applications for left-truncated Weibull distributions to non-life insurance

Cites Work

• On the discounted penalty function in a Markov-dependent risk model
• The distribution of total dividend payments in a Sparre Andersen model
• The time to ruin for a class of Markov additive risk process with two-sided jumps
• The Time Value of Ruin in a Sparre Andersen Model