Article: article from journal or magazin.
On the discounted penalty function in a Markov-dependent risk model
Insurance: Mathematics and Economics
We present a unified approach to the analysis of several popular models in collective risk theory. Based on the analysis of the discounted penalty function in a semi-Markovian risk model by means of Laplace-Stieltjes transforms, we rederive and extend some recent results in the field. In particular, the classical compound Poisson model, Sparre Andersen models with phase-type interclaim, times and models with causal dependence of a certain Markovian type between claim sizes and interclaim times are contained as special cases.
Dependence, Classical risk model, Sparre Andersen model, Time of ruin, Deficit at ruin, Surplus before ruin
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