A Risk Model with an Observer in a Markov Environment
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- Jin, Can & Li, Shuanming & Wu, Xueyuan, 2016. "On the occupation times in a delayed Sparre Andersen risk model with exponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 304-316.
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- Landriault, David & Shi, Tianxiang, 2015. "Occupation times in the MAP risk model," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 75-82.
- repec:eee:spapps:v:128:y:2018:i:1:p:255-290 is not listed on IDEAS
- Choi, Michael C.H. & Cheung, Eric C.K., 2014. "On the expected discounted dividends in the Cramér–Lundberg risk model with more frequent ruin monitoring than dividend decisions," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 121-132.
- Feng, Runhuan & Shimizu, Yasutaka, 2014. "Potential measures for spectrally negative Markov additive processes with applications in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 11-26.
- Wong, Jeff T.Y. & Cheung, Eric C.K., 2015. "On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 280-290.
More about this item
KeywordsMarkov additive process; level-crossing probabilities; Poissonian observation; ruin probability; occupation times;
- C - Mathematical and Quantitative Methods
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
- M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics
- M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting
- K2 - Law and Economics - - Regulation and Business Law
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