The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
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Cited by:
- Zan Yu & Lianzeng Zhang, 2024. "Computing the Gerber-Shiu function with interest and a constant dividend barrier by physics-informed neural networks," Papers 2401.04378, arXiv.org.
- Lu, Yi & Li, Shuanming, 2009. "The Markovian regime-switching risk model with a threshold dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 296-303, April.
- Yue He & Reiichiro Kawai & Yasutaka Shimizu & Kazutoshi Yamazaki, 2022. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Papers 2203.10680, arXiv.org, revised Dec 2022.
- Cheung, Eric C.K. & Landriault, David, 2010. "A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 127-134, February.
- Cheung, Eric C.K. & Feng, Runhuan, 2013. "A unified analysis of claim costs up to ruin in a Markovian arrival risk model," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 98-109.
- He, Yue & Kawai, Reiichiro & Shimizu, Yasutaka & Yamazaki, Kazutoshi, 2023. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 1-28.
- Jiang, Wuyuan & Yang, Zhaojun & Li, Xinping, 2012. "The discounted penalty function with multi-layer dividend strategy in the phase-type risk model," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1358-1366.
- Li, Jingchao & Dickson, David C.M. & Li, Shuanming, 2015. "Some ruin problems for the MAP risk model," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 1-8.
- Li, Shuanming & Ren, Jiandong, 2013. "The maximum severity of ruin in a perturbed risk process with Markovian arrivals," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 993-998.
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