On the discounted penalty function in a Markov-dependent risk model

DOI10.1016/j.insmatheco.2005.06.007zbMath1129.91023OpenAlexW2168342347MaRDI QIDQ817299

Publication date: 8 March 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.06.007

zbMATH Keywords

dependence classical risk model surplus before ruin deficit at ruin time of ruin Sparre Andersen model

Mathematics Subject Classification ID

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

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