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On the analysis of a multi-threshold Markovian risk model
16 references·5 citing·35 second hop
On the analysis of a multi-threshold Markovian risk model (2007)On the analysis of a multi-threshold Mark…Scandinavian Actuarial Journal (2008)Scandinavian Actuarial JournalTime dependent analysis of finite buffer fluid flows and risk models with a dividend barrier (2007)Time dependent analysis of fi…The compound Poisson risk model with multiple thresholds (2007)The compound Poisson risk mod…A Risk Model with Multilayer Dividend Strategy (2007)A Risk Model with Multilayer …Passage Times in Fluid Models with Application to Risk Processes (2006)Passage Times in Fluid Models…The compound Poisson risk model with a threshold dividend strategy (2005)The compound Poisson risk mod…On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times (2005)On the distribution of divide…Efficient algorithms for transient analysis of stochastic fluid flow models (2005)Efficient algorithms for tran…Some Optimal Dividends Problems (2004)Some Optimal Dividends Proble…Risk processes analyzed as fluid queues (2004)Risk processes analyzed as fl…On a class of renewal risk models with a constant dividend barrier (2004)On a class of renewal risk mo…Insurance: Mathematics and Economics (2004)Insurance: Mathematics and Ec…Ruin Probabilities (2000)Ruin ProbabilitiesIntroduction to Matrix Analytic Methods in Stochastic Modeling (1999)Introduction to Matrix Analyt…On the Time Value of Ruin (1998)On the Time Value of RuinStructured Stochastic Matrices of M/G/1 Type and Their Applications. (1991)Structured Stochastic Matrice…The workload-dependent MAP/PH/1 queue with infinite/finite workload capacity (2013)The workload-dependent MAP/PH…A unified analysis of claim costs up to ruin in a Markovian arrival risk model (2013)A unified analysis of claim c…A MAP-modulated fluid flow model with multiple vacations (2012)A MAP-modulated fluid flow mo…A Markov‐modulated fluid flow queueing model under D‐policy (2011)A Markov‐modulated fluid flow…Perturbed MAP Risk Models with Dividend Barrier Strategies (2009)Perturbed MAP Risk Models wit…Applied Probability and Queues (1987)Loss Models: From Data to Decisions (1999)Applied Probability and Queues (2003)A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier (2006)Optimality results for dividend problems in insurance (2009)Refracted Lévy processes (2010)An introduction to mathematical risk theory (1979)Option pricing by Esscher transforms. (1995)Optimal Dividends (2004)Insurance Risk and Ruin (2005)Fluctuations of Lévy Processes with Applications (2014)Matrix-Geometric Solutions to Stochastic Models (1984)Dependent Risk Models with Bivariate Phase-Type Distributions (2009)Introduction to Stochastic Processes (2014)Mathematical Methods in Risk Theory (1970)On a Classical Risk Model with a Constant Dividend Barrier (2005)On optimal dividends: From reflection to refraction (2005)Self-Annuitization and Ruin in Retirement (2000)Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin (2004)The Private Market for Long‐Term Care Insurance in the United States: A Review of the Evidence (2009)Non-Life Insurance Pricing with Generalized Linear Models (2010)The Batch Markovian Arrival Process: A Review and Future Work (2001)Telephone Call Centers: Tutorial, Review, and Research Prospects (2003)Fundamentals of Matrix-Analytic Methods (2013)On Optimal Dividend Strategies In The Compound Poisson Model (2006)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)Strategies for Dividend Distribution: A Review (2009)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Models for construction of multivariate dependence – a comparison study (2008)Risk theory in a Markovian environment (1989)A single-server queue with server vacations and a class of non-renewal arrival processes (1990)The Markov-modulated Poisson process (MMPP) cookbook (1993)Ruin probabilities and aggregrate claims distributions for shot noise Cox processes (2006)Characterization of Matrix-Exponential Distributions (2008)
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References

  • 1999Introduction to Matrix Analytic Methods in Stochastic Modeling1,988 cited
  • 2004Insurance: Mathematics and Economics1,308 cited
  • 1991Structured Stochastic Matrices of M/G/1 Type and Their Applications.996 cited
  • 1998On the Time Value of Ruin786 cited
  • 2008Scandinavian Actuarial Journal261 cited
  • 2004Some Optimal Dividends Problems245 cited
  • 2005The compound Poisson risk model with a threshold dividend strategy167 cited
  • 2004On a class of renewal risk models with a constant dividend barrier110 cited
  • 2000Ruin Probabilities103 cited
  • 2005Efficient algorithms for transient analysis of stochastic fluid flow models89 cited
  • 2004Risk processes analyzed as fluid queues86 cited
  • 2007The compound Poisson risk model with multiple thresholds78 cited
  • 2005On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times78 cited
  • 2007Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier70 cited
  • 2006Passage Times in Fluid Models with Application to Risk Processes66 cited
  • 2007

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A Risk Model with Multilayer Dividend Strategy
61 cited

Cited by

  • 2009Perturbed MAP Risk Models with Dividend Barrier Strategies33 cited
  • 2013A unified analysis of claim costs up to ruin in a Markovian arrival risk model29 cited
  • 2011A Markov‐modulated fluid flow queueing model under D‐policy14 cited
  • 2012A MAP-modulated fluid flow model with multiple vacations13 cited
  • 2013The workload-dependent MAP/PH/1 queue with infinite/finite workload capacity12 cited