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

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  • Albrecher, Hansjorg
  • Boxma, Onno J.

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  • Albrecher, Hansjorg & Boxma, Onno J., 2005. "On the discounted penalty function in a Markov-dependent risk model," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 650-672, December.
    • Handle: RePEc:eee:insuma:v:37:y:2005:i:3:p:650-672
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    References listed on IDEAS

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    1. Dickson, David C. M., 1992. "On the distribution of the surplus prior to ruin," Insurance: Mathematics and Economics, Elsevier, vol. 11(3), pages 191-207, October.
    2. Hans Gerber & Elias Shiu, 1998. "On the Time Value of Ruin," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 48-72.
    3. Sun, Lijuan & Yang, Hailiang, 2004. "On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 121-125, February.
    4. Dickson, David C. M. & Hipp, Christian, 2001. "On the time to ruin for Erlang(2) risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 333-344, December.
    5. Hans Gerber & Elias Shiu, 2005. "The Time Value of Ruin in a Sparre Andersen Model," North American Actuarial Journal, Taylor & Francis Journals, vol. 9(2), pages 49-69.
    6. Lin, X. Sheldon & Willmot, Gordon E., 2000. "The moments of the time of ruin, the surplus before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 19-44, August.
    7. Dickson, David C. M. & Drekic, Steve, 2004. "The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 97-107, February.
    8. Janssen, Jacques & Reinhard, Jean-Marie, 1985. "Probabilités de Ruine pour une Classe de Modèles de Risque Semi-Markoviens," ASTIN Bulletin, Cambridge University Press, vol. 15(2), pages 123-133, November.
    9. Albrecher, Hansjorg & Boxma, Onno J., 2004. "A ruin model with dependence between claim sizes and claim intervals," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 245-254, October.
    10. Dufresne, Francois & Gerber, Hans U., 1988. "The surpluses immediately before and at ruin, and the amount of the claim causing ruin," Insurance: Mathematics and Economics, Elsevier, vol. 7(3), pages 193-199, October.
    11. Jacobsen, Martin, 2003. "Martingales and the distribution of the time to ruin," Stochastic Processes and their Applications, Elsevier, vol. 107(1), pages 29-51, September.
    12. Li, Shuanming & Garrido, Jose, 2004. "On ruin for the Erlang(n) risk process," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 391-408, June.
    13. Avram, F. & Usábel, M., 2004. "Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times," ASTIN Bulletin, Cambridge University Press, vol. 34(2), pages 315-332, November.
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