Ahmad, Jamaal; Bladt, Mogens Phase-type representations of stochastic interest rates with applications to life insurance. (English) Zbl 07807623 Eur. Actuar. J. 13, No. 2, 571-606 (2023). MSC: 91G05 91G30 62M05 PDFBibTeX XMLCite \textit{J. Ahmad} and \textit{M. Bladt}, Eur. Actuar. J. 13, No. 2, 571--606 (2023; Zbl 07807623) Full Text: DOI arXiv OA License
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge Mortality modeling and regression with matrix distributions. (English) Zbl 1515.62096 Insur. Math. Econ. 107, 68-87 (2022). Reviewer: Tamás Mátrai (Edinburgh) MSC: 62P05 62N02 60J28 91D20 91G05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 107, 68--87 (2022; Zbl 1515.62096) Full Text: DOI arXiv
Moutanabbir, Khouzeima; Abdelrahman, Hassan Bivariate Sarmanov phase-type distributions for joint lifetimes modeling. (English) Zbl 1489.62331 Methodol. Comput. Appl. Probab. 24, No. 2, 1093-1118 (2022). MSC: 62P05 62N05 60E05 62H20 91G05 PDFBibTeX XMLCite \textit{K. Moutanabbir} and \textit{H. Abdelrahman}, Methodol. Comput. Appl. Probab. 24, No. 2, 1093--1118 (2022; Zbl 1489.62331) Full Text: DOI
Tian, Linlin; Liu, Zhaoyang Optimal dividend strategies in a renewal risk model with phase-type distributed interclaim times. (English) Zbl 1484.91409 Appl. Math. Optim. 85, No. 1, 1-26 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{L. Tian} and \textit{Z. Liu}, Appl. Math. Optim. 85, No. 1, 1--26 (2022; Zbl 1484.91409) Full Text: DOI arXiv
Furman, Edward; Kye, Yisub; Su, Jianxi Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type. (English) Zbl 1460.91221 Insur. Math. Econ. 96, 153-167 (2021). MSC: 91G05 91G45 PDFBibTeX XMLCite \textit{E. Furman} et al., Insur. Math. Econ. 96, 153--167 (2021; Zbl 1460.91221) Full Text: DOI
Chen, Yu-Ting; Lee, Cheng Few; Sheu, Yuan-Chung An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model. (English) Zbl 1451.91165 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1561-1598 (2021). MSC: 91G05 60G51 60J74 45J05 PDFBibTeX XMLCite \textit{Y.-T. Chen} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1561--1598 (2021; Zbl 1451.91165) Full Text: DOI
Reshmi, P. S.; Jose, K. P. A \(MAP/PH/1\) perishable inventory system with dependent retrial loss. (English) Zbl 1468.60109 Int. J. Appl. Comput. Math. 6, No. 6, Paper No. 153, 11 p. (2020). MSC: 60K25 90B05 91B70 PDFBibTeX XMLCite \textit{P. S. Reshmi} and \textit{K. P. Jose}, Int. J. Appl. Comput. Math. 6, No. 6, Paper No. 153, 11 p. (2020; Zbl 1468.60109) Full Text: DOI
Koutras, Vasileios M.; Koutras, Markos V. Exact distribution of random order statistics and applications in risk management. (English) Zbl 1457.62065 Methodol. Comput. Appl. Probab. 22, No. 4, 1539-1558 (2020). MSC: 62E15 62G30 60J10 62P05 91B05 91G40 PDFBibTeX XMLCite \textit{V. M. Koutras} and \textit{M. V. Koutras}, Methodol. Comput. Appl. Probab. 22, No. 4, 1539--1558 (2020; Zbl 1457.62065) Full Text: DOI
Palmowski, Zbigniew; Vatamidou, Eleni Phase-type approximations perturbed by a heavy-tailed component for the Gerber-shiu function of risk processes with two-sided jumps. (English) Zbl 1451.60087 Stoch. Models 36, No. 2, 337-363 (2020). MSC: 60J28 60G70 91G05 PDFBibTeX XMLCite \textit{Z. Palmowski} and \textit{E. Vatamidou}, Stoch. Models 36, No. 2, 337--363 (2020; Zbl 1451.60087) Full Text: DOI arXiv
Jiang, Wuyuan Two classes of risk model with diffusion and multiple thresholds: the discounted dividends. (English) Zbl 1471.62495 Hacet. J. Math. Stat. 48, No. 1, 200-212 (2019). MSC: 62P05 91B05 PDFBibTeX XMLCite \textit{W. Jiang}, Hacet. J. Math. Stat. 48, No. 1, 200--212 (2019; Zbl 1471.62495) Full Text: Link
Ajayakumar, Chembra Balan; Krishnamoorthy, Achyutha On a queue with postponed work under \(N\)-policy. (English) Zbl 1455.90033 Dudin, Alexander (ed.) et al., Information technologies and mathematical modelling. Queueing theory and applications. 18th international conference, ITMM 2019, named after A. F. Terpugov, Saratov, Russia, June 26–30, 2019. Revised selected papers. Cham: Springer. Commun. Comput. Inf. Sci. 1109, 312-326 (2019). MSC: 90B22 60J80 60K25 91A80 PDFBibTeX XMLCite \textit{C. B. Ajayakumar} and \textit{A. Krishnamoorthy}, Commun. Comput. Inf. Sci. 1109, 312--326 (2019; Zbl 1455.90033) Full Text: DOI
Wen, Eryuan; Wang, Xiulian The Gerber-Shiu discounted penalty function of absolute ruin for two rates with phase-type interclaim times. (Chinese. English summary) Zbl 1413.91044 J. Cent. China Norm. Univ., Nat. Sci. 52, No. 1, 14-18 (2018). MSC: 91B30 60K10 44A10 PDFBibTeX XMLCite \textit{E. Wen} and \textit{X. Wang}, J. Cent. China Norm. Univ., Nat. Sci. 52, No. 1, 14--18 (2018; Zbl 1413.91044) Full Text: DOI
Jiang, Wuyuan The expected discounted penalty function in a renewal risk model with stochastic income. (Chinese. English summary) Zbl 1413.62183 Appl. Math., Ser. A (Chin. Ed.) 33, No. 1, 45-51 (2018). MSC: 62P05 91B30 PDFBibTeX XMLCite \textit{W. Jiang}, Appl. Math., Ser. A (Chin. Ed.) 33, No. 1, 45--51 (2018; Zbl 1413.62183)
Jiang, Wuyuan; Ma, Chaoqun The maximum surplus before ruin for two classes of perturbed risk model. (English) Zbl 1390.62211 Appl. Anal. 97, No. 1, 124-133 (2018). MSC: 62P05 91B30 60J60 PDFBibTeX XMLCite \textit{W. Jiang} and \textit{C. Ma}, Appl. Anal. 97, No. 1, 124--133 (2018; Zbl 1390.62211) Full Text: DOI
Bergel, Agnieszka I.; Rodríguez-Martínez, Eugenio V.; dos Reis, Alfredo D. Egídio On dividends in the phase-type dual risk model. (English) Zbl 1402.91185 Scand. Actuar. J. 2017, No. 9, 761-784 (2017). MSC: 91B30 60K10 44A10 PDFBibTeX XMLCite \textit{A. I. Bergel} et al., Scand. Actuar. J. 2017, No. 9, 761--784 (2017; Zbl 1402.91185) Full Text: DOI
Zadeh, Amin Hassan; Stanford, David A. Bayesian and Bühlmann credibility for phase-type distributions with a univariate risk parameter. (English) Zbl 1401.91210 Scand. Actuar. J. 2016, No. 4, 338-355 (2016). MSC: 91B30 60J25 62E15 62P05 PDFBibTeX XMLCite \textit{A. H. Zadeh} and \textit{D. A. Stanford}, Scand. Actuar. J. 2016, No. 4, 338--355 (2016; Zbl 1401.91210) Full Text: DOI
Jiang, Wuyuan; Ma, Chaoqun Dividend moments for two classes of risk processes with phase-type interclaim times. (English) Zbl 1359.62454 Hacet. J. Math. Stat. 45, No. 3, 905-915 (2016). MSC: 62P05 91B30 PDFBibTeX XMLCite \textit{W. Jiang} and \textit{C. Ma}, Hacet. J. Math. Stat. 45, No. 3, 905--915 (2016; Zbl 1359.62454) Full Text: DOI
Avram, F.; Badescu, A. L.; Pistorius, M. R.; Rabehasaina, L. On a class of dependent Sparre Andersen risk models and a bailout application. (English) Zbl 1371.91078 Insur. Math. Econ. 71, 27-39 (2016). MSC: 91B30 60K30 60G51 60J75 PDFBibTeX XMLCite \textit{F. Avram} et al., Insur. Math. Econ. 71, 27--39 (2016; Zbl 1371.91078) Full Text: DOI Link
He, Qi-Ming; Ren, Jiandong Analysis of a multivariate claim process. (English) Zbl 1337.60252 Methodol. Comput. Appl. Probab. 18, No. 1, 257-273 (2016). MSC: 60K99 91B30 65C99 PDFBibTeX XMLCite \textit{Q.-M. He} and \textit{J. Ren}, Methodol. Comput. Appl. Probab. 18, No. 1, 257--273 (2016; Zbl 1337.60252) Full Text: DOI
Rodríguez-Martínez, Eugenio V.; Cardoso, Rui M. R.; Egídio dos Reis, Alfredo D. Some advances on the Erlang(\(n\)) dual risk model. (English) Zbl 1390.91209 ASTIN Bull. 45, No. 1, 127-150 (2015). MSC: 91B30 60K10 62P05 PDFBibTeX XMLCite \textit{E. V. Rodríguez-Martínez} et al., ASTIN Bull. 45, No. 1, 127--150 (2015; Zbl 1390.91209) Full Text: DOI Link
Ko, Bangwon; Bae, Taehan Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality. (English) Zbl 1335.91082 Lobachevskii J. Math. 36, No. 2, 198-207 (2015). MSC: 91G20 91B30 PDFBibTeX XMLCite \textit{B. Ko} and \textit{T. Bae}, Lobachevskii J. Math. 36, No. 2, 198--207 (2015; Zbl 1335.91082) Full Text: DOI
Zadeh, Amin Hassan; Jones, Bruce L.; Stanford, David A. The use of phase-type models for disability insurance calculations. (English) Zbl 1401.91209 Scand. Actuar. J. 2014, No. 8, 714-728 (2014). MSC: 91B30 60J25 PDFBibTeX XMLCite \textit{A. H. Zadeh} et al., Scand. Actuar. J. 2014, No. 8, 714--728 (2014; Zbl 1401.91209) Full Text: DOI
Jiang, Wuyuan; Yang, Zhaojun The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds. (English) Zbl 1333.91031 Indian J. Pure Appl. Math. 45, No. 4, 479-495 (2014). MSC: 91B30 60K10 PDFBibTeX XMLCite \textit{W. Jiang} and \textit{Z. Yang}, Indian J. Pure Appl. Math. 45, No. 4, 479--495 (2014; Zbl 1333.91031) Full Text: DOI
Ivanovs, Jevgenijs A note on killing with applications in risk theory. (English) Zbl 1291.91114 Insur. Math. Econ. 52, No. 1, 29-34 (2013). MSC: 91B30 60J25 60G51 60K10 PDFBibTeX XMLCite \textit{J. Ivanovs}, Insur. Math. Econ. 52, No. 1, 29--34 (2013; Zbl 1291.91114) Full Text: DOI
Jiang, Wuyuan; Yang, Zhaojun The expected discounted penalty function for risk models with two classes of claims under multiple thresholds. (Chinese. English summary) Zbl 1299.91060 Acta Math. Appl. Sin. 36, No. 5, 821-830 (2013). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{W. Jiang} and \textit{Z. Yang}, Acta Math. Appl. Sin. 36, No. 5, 821--830 (2013; Zbl 1299.91060)
Yang, Shaohua; Hua, Zhiqiang The ruin probability for a risk model with phase-type claims. (English) Zbl 1289.91096 J. Math., Wuhan Univ. 33, No. 4, 646-652 (2013). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{S. Yang} and \textit{Z. Hua}, J. Math., Wuhan Univ. 33, No. 4, 646--652 (2013; Zbl 1289.91096)
Jiang, Wuyuan; Yang, Zhaojun Dividend payments in a risk model perturbed by diffusion with multiple thresholds. (English) Zbl 1280.62118 Stochastic Anal. Appl. 31, No. 6, 1097-1113 (2013). MSC: 62P05 91B30 65R99 PDFBibTeX XMLCite \textit{W. Jiang} and \textit{Z. Yang}, Stochastic Anal. Appl. 31, No. 6, 1097--1113 (2013; Zbl 1280.62118) Full Text: DOI
Zadeh, Amin Hassan; Bilodeau, Martin Fitting bivariate losses with phase-type distributions. (English) Zbl 1306.62070 Scand. Actuar. J. 2013, No. 4, 241-262 (2013). Reviewer: Dongsheng Tu (Kingston) MSC: 62F10 62F40 62H12 60J27 62P05 91B30 PDFBibTeX XMLCite \textit{A. H. Zadeh} and \textit{M. Bilodeau}, Scand. Actuar. J. 2013, No. 4, 241--262 (2013; Zbl 1306.62070) Full Text: DOI
Xu, Huai; Tang, Ling A joint density function in the renewal risk model. (English) Zbl 1289.62128 Commun. Math. Res. 29, No. 1, 88-96 (2013). MSC: 62P05 91B30 60K10 PDFBibTeX XMLCite \textit{H. Xu} and \textit{L. Tang}, Commun. Math. Res. 29, No. 1, 88--96 (2013; Zbl 1289.62128)
Jiang, Wu-Yuan; Yang, Zhou-Jun The phase-type risk model perturbed by diffusion under a threshold dividend strategy. (English) Zbl 1266.91035 Acta Math. Appl. Sin., Engl. Ser. 29, No. 1, 215-224 (2013). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{W.-Y. Jiang} and \textit{Z.-J. Yang}, Acta Math. Appl. Sin., Engl. Ser. 29, No. 1, 215--224 (2013; Zbl 1266.91035) Full Text: DOI
Ahn, Soohan; Kim, Joseph H. T.; Ramaswami, Vaidyanathan A new class of models for heavy tailed distributions in finance and insurance risk. (English) Zbl 1284.60024 Insur. Math. Econ. 51, No. 1, 43-52 (2012). MSC: 60E05 60G70 91B30 91G80 62G32 62P05 PDFBibTeX XMLCite \textit{S. Ahn} et al., Insur. Math. Econ. 51, No. 1, 43--52 (2012; Zbl 1284.60024) Full Text: DOI
Xu, Huai; Tang, Ling A joint density function in phase-type (2) risk models. (English) Zbl 1274.62699 Commun. Math. Res. 28, No. 4, 349-358 (2012). MSC: 62P05 91B30 65C60 PDFBibTeX XMLCite \textit{H. Xu} and \textit{L. Tang}, Commun. Math. Res. 28, No. 4, 349--358 (2012; Zbl 1274.62699)
Dong, Hua; Liu, Zaiming A matrix operator approach to a risk model with two classes of claims. (English) Zbl 1260.91122 Front. Math. China 7, No. 3, 437-448 (2012). MSC: 91B30 PDFBibTeX XMLCite \textit{H. Dong} and \textit{Z. Liu}, Front. Math. China 7, No. 3, 437--448 (2012; Zbl 1260.91122) Full Text: DOI
Jiang, Wuyuan; Yang, Zhaojun; Li, Xinping The discounted penalty function with multi-layer dividend strategy in the phase-type risk model. (English) Zbl 1246.91062 Stat. Probab. Lett. 82, No. 7, 1358-1366 (2012). MSC: 91B30 60H30 PDFBibTeX XMLCite \textit{W. Jiang} et al., Stat. Probab. Lett. 82, No. 7, 1358--1366 (2012; Zbl 1246.91062) Full Text: DOI
Jiang, Wuyuan The maximum surplus in the phase-type risk model perturbed by diffusion and related distributions. (Chinese. English summary) Zbl 1265.91090 Acta Math. Appl. Sin. 34, No. 5, 949-956 (2011). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{W. Jiang}, Acta Math. Appl. Sin. 34, No. 5, 949--956 (2011; Zbl 1265.91090)
Bladt, Mogens; Nielsen, Bo Friis Moment distributions of phase type. (English) Zbl 1232.60013 Stoch. Models 27, No. 4, 651-663 (2011). MSC: 60E05 60K05 62P20 91B82 PDFBibTeX XMLCite \textit{M. Bladt} and \textit{B. F. Nielsen}, Stoch. Models 27, No. 4, 651--663 (2011; Zbl 1232.60013) Full Text: DOI Link
Chi, Yichun; Jaimungal, Sebastian; Lin, X. Sheldon An insurance risk model with stochastic volatility. (English) Zbl 1231.91163 Insur. Math. Econ. 46, No. 1, 52-66 (2010). MSC: 91B30 91B70 45J05 60H30 PDFBibTeX XMLCite \textit{Y. Chi} et al., Insur. Math. Econ. 46, No. 1, 52--66 (2010; Zbl 1231.91163) Full Text: DOI
Ng, Andrew C. Y. On the upcrossing and downcrossing probabilities of a dual risk model with phase-type gains. (English) Zbl 1230.91081 Astin Bull. 40, No. 1, 281-306 (2010). MSC: 91B30 PDFBibTeX XMLCite \textit{A. C. Y. Ng}, ASTIN Bull. 40, No. 1, 281--306 (2010; Zbl 1230.91081) Full Text: DOI
Asmussen, Søren; Albrecher, Hansjörg Ruin probabilities. 2nd ed. (English) Zbl 1247.91080 Advanced Series on Statistical Science & Applied Probability 14. Hackensack, NJ: World Scientific (ISBN 978-981-4282-52-9/hbk; 978-981-4282-53-6/ebook). xvii, 602 p. (2010). Reviewer: Uwe Küchler (Berlin) MSC: 91B30 60-02 60J75 60K05 60K15 60G44 60G50 60J60 60F10 60K37 PDFBibTeX XMLCite \textit{S. Asmussen} and \textit{H. Albrecher}, Ruin probabilities. 2nd ed. Hackensack, NJ: World Scientific (2010; Zbl 1247.91080) Full Text: Link
Yang, Hu; Zhang, Zhimin On a discrete risk model with two-sided jumps. (English) Zbl 1188.91091 J. Comput. Appl. Math. 234, No. 3, 835-844 (2010). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 PDFBibTeX XMLCite \textit{H. Yang} and \textit{Z. Zhang}, J. Comput. Appl. Math. 234, No. 3, 835--844 (2010; Zbl 1188.91091) Full Text: DOI
Song, Min; Meng, Qingbin; Wu, Rong; Ren, Jiandong The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times. (English) Zbl 1202.91129 Appl. Math. Comput. 216, No. 2, 523-531 (2010). MSC: 91B30 60K15 PDFBibTeX XMLCite \textit{M. Song} et al., Appl. Math. Comput. 216, No. 2, 523--531 (2010; Zbl 1202.91129) Full Text: DOI
Ji, Lanpeng; Zhang, Chunsheng The Gerber-Shiu penalty functions for two classes of renewal risk processes. (English) Zbl 1222.91024 J. Comput. Appl. Math. 233, No. 10, 2575-2589 (2010). MSC: 91B30 60J27 PDFBibTeX XMLCite \textit{L. Ji} and \textit{C. Zhang}, J. Comput. Appl. Math. 233, No. 10, 2575--2589 (2010; Zbl 1222.91024) Full Text: DOI
Feng, Runhuan On the total operating costs up to default in a renewal risk model. (English) Zbl 1231.91183 Insur. Math. Econ. 45, No. 2, 305-314 (2009). MSC: 91B30 60K05 PDFBibTeX XMLCite \textit{R. Feng}, Insur. Math. Econ. 45, No. 2, 305--314 (2009; Zbl 1231.91183) Full Text: DOI
Badescu, Andrei L.; Landriault, David Applications of fluid flow matrix analytic methods in ruin theory – a review. (English) Zbl 1186.60092 RACSAM, Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat. 103, No. 2, 353-372 (2009). Reviewer: Oleg K. Zakusilo (Kyïv) MSC: 60K15 91B30 60J25 PDFBibTeX XMLCite \textit{A. L. Badescu} and \textit{D. Landriault}, RACSAM, Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat. 103, No. 2, 353--372 (2009; Zbl 1186.60092) Full Text: DOI EuDML
Li, Shuanming; Lu, Yi; Garrido, José A review of discrete-time risk models. (English) Zbl 1180.62151 RACSAM, Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat. 103, No. 2, 321-337 (2009). MSC: 62P05 91B30 60J20 60K99 PDFBibTeX XMLCite \textit{S. Li} et al., RACSAM, Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat. 103, No. 2, 321--337 (2009; Zbl 1180.62151) Full Text: DOI EuDML
Badescu, Andrei L.; Cheung, Eric C. K.; Landriault, David Dependent risk models with bivariate phase-type distributions. (English) Zbl 1172.91009 J. Appl. Probab. 46, No. 1, 113-131 (2009). Reviewer: Zbigniew Michna (Wrocław) MSC: 91B30 60J25 60J75 PDFBibTeX XMLCite \textit{A. L. Badescu} et al., J. Appl. Probab. 46, No. 1, 113--131 (2009; Zbl 1172.91009) Full Text: DOI
Kim, Bara; Kim, Hwa-Sung; Kim, Jeongsim A risk model with paying dividends and random environment. (English) Zbl 1152.91589 Insur. Math. Econ. 42, No. 2, 717-726 (2008). MSC: 91B30 PDFBibTeX XMLCite \textit{B. Kim} et al., Insur. Math. Econ. 42, No. 2, 717--726 (2008; Zbl 1152.91589) Full Text: DOI
Badescu, Andrei; Landriault, David Moments of the discounted dividends in a threshold-typ Markovian risk process. (English) Zbl 1272.60063 Braz. J. Probab. Stat. 21, No. 1, 13-25 (2007). MSC: 60K20 62N05 62P05 91B30 PDFBibTeX XMLCite \textit{A. Badescu} and \textit{D. Landriault}, Braz. J. Probab. Stat. 21, No. 1, 13--25 (2007; Zbl 1272.60063)
Badescu, Andrei; Drekic, Steve; Landriault, Daviv On the analysis of a multi-threshold Markovian risk model. (English) Zbl 1164.91025 Scand. Actuar. J. 2007, No. 4, 248-260 (2007). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91B30 PDFBibTeX XMLCite \textit{A. Badescu} et al., Scand. Actuar. J. 2007, No. 4, 248--260 (2007; Zbl 1164.91025) Full Text: DOI
Badescu, Andrei; Drekic, Steve; Landriault, Daviv Analysis of a threshold dividend strategy for a MAP risk model. (English) Zbl 1164.91024 Scand. Actuar. J. 2007, No. 4, 227-247 (2007). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91B30 PDFBibTeX XMLCite \textit{A. Badescu} et al., Scand. Actuar. J. 2007, No. 4, 227--247 (2007; Zbl 1164.91024) Full Text: DOI
Pitts, Susan M.; Politis, Konstadinos The joint density of the surplus before and after ruin in the Sparre Andersen model. (English) Zbl 1132.60061 J. Appl. Probab. 44, No. 3, 695-712 (2007). MSC: 60K10 91B30 60K05 PDFBibTeX XMLCite \textit{S. M. Pitts} and \textit{K. Politis}, J. Appl. Probab. 44, No. 3, 695--712 (2007; Zbl 1132.60061) Full Text: DOI
Ahn, Soohan; Badescu, Andrei L. On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals. (English) Zbl 1193.60103 Insur. Math. Econ. 41, No. 2, 234-249 (2007). MSC: 60K10 60K05 91B30 PDFBibTeX XMLCite \textit{S. Ahn} and \textit{A. L. Badescu}, Insur. Math. Econ. 41, No. 2, 234--249 (2007; Zbl 1193.60103) Full Text: DOI
Cai, Jun; Li, Haijun Dependence properties and bounds for ruin probabilities in multivariate compound risk models. (English) Zbl 1280.91090 J. Multivariate Anal. 98, No. 4, 757-773 (2007). MSC: 91B30 60E15 PDFBibTeX XMLCite \textit{J. Cai} and \textit{H. Li}, J. Multivariate Anal. 98, No. 4, 757--773 (2007; Zbl 1280.91090) Full Text: DOI
Politis, Konstadinos A functional approach for ruin probabilities. (English) Zbl 1133.91034 Stoch. Models 22, No. 3, 509-536 (2006). MSC: 91B30 60K05 PDFBibTeX XMLCite \textit{K. Politis}, Stoch. Models 22, No. 3, 509--536 (2006; Zbl 1133.91034) Full Text: DOI
Albrecher, Hansjörg; Asmussen, Søren Ruin probabilities and aggregate claims distributions for shot noise Cox processes. (English) Zbl 1129.91022 Scand. Actuar. J. 2006, No. 2, 86-110 (2006). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{S. Asmussen}, Scand. Actuar. J. 2006, No. 2, 86--110 (2006; Zbl 1129.91022) Full Text: DOI
Ng, Andrew C. Y.; Yang, Hailiang On the joint distribution of surplus before and after ruin under a Markovian regime switching model. (English) Zbl 1093.60051 Stochastic Processes Appl. 116, No. 2, 244-266 (2006). Reviewer: Laszlo Lakatos (Budapest) MSC: 60J27 91B30 PDFBibTeX XMLCite \textit{A. C. Y. Ng} and \textit{H. Yang}, Stochastic Processes Appl. 116, No. 2, 244--266 (2006; Zbl 1093.60051) Full Text: DOI Link
Badescu, Andrei L.; Breuer, Lothar; Drekic, Steve; Latouche, Guy; Stanford, David A. The surplus prior to ruin and the deficit at ruin for a correlated risk process. (English) Zbl 1143.91025 Scand. Actuar. J. 2005, No. 6, 433-445 (2005). Reviewer: A. D. Borisenko (Kyïv) MSC: 91B30 PDFBibTeX XMLCite \textit{A. L. Badescu} et al., Scand. Actuar. J. 2005, No. 6, 433--445 (2005; Zbl 1143.91025) Full Text: DOI Link
Willmot, Gordon E.; Drekic, Steve; Cai, Jun Equilibrium compound distributions and stop-loss moments. (English) Zbl 1144.91031 Scand. Actuar. J. 2005, No. 1, 6-24 (2005). Reviewer: A. D. Borisenko (Kyïv) MSC: 91B30 60E10 PDFBibTeX XMLCite \textit{G. E. Willmot} et al., Scand. Actuar. J. 2005, No. 1, 6--24 (2005; Zbl 1144.91031) Full Text: DOI
Ren, Jiandong The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process. (English) Zbl 1129.91027 Insur. Math. Econ. 37, No. 3, 505-521 (2005). MSC: 91B30 60J65 PDFBibTeX XMLCite \textit{J. Ren}, Insur. Math. Econ. 37, No. 3, 505--521 (2005; Zbl 1129.91027) Full Text: DOI
Cai, Jun; Li, Haijun Conditional tail expectations for multivariate phase-type distributions. (English) Zbl 1079.62022 J. Appl. Probab. 42, No. 3, 810-825 (2005). MSC: 62E15 62P05 91B30 60J20 62N05 PDFBibTeX XMLCite \textit{J. Cai} and \textit{H. Li}, J. Appl. Probab. 42, No. 3, 810--825 (2005; Zbl 1079.62022) Full Text: DOI
Frostig, Esther On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier. (English) Zbl 1116.91054 J. Appl. Probab. 42, No. 3, 595-607 (2005). MSC: 91B30 60K25 60G40 60G44 PDFBibTeX XMLCite \textit{E. Frostig}, J. Appl. Probab. 42, No. 3, 595--607 (2005; Zbl 1116.91054) Full Text: DOI
Frostig, Esther The expected time to ruin in a risk process with constant barrier via martingales. (English) Zbl 1117.91381 Insur. Math. Econ. 37, No. 2, 216-228 (2005). MSC: 91B30 PDFBibTeX XMLCite \textit{E. Frostig}, Insur. Math. Econ. 37, No. 2, 216--228 (2005; Zbl 1117.91381) Full Text: DOI
Cai, Jun; Li, Haijun Multivariate risk model of phase type. (English) Zbl 1122.60049 Insur. Math. Econ. 36, No. 2, 137-152 (2005). MSC: 60G55 60E15 91B30 PDFBibTeX XMLCite \textit{J. Cai} and \textit{H. Li}, Insur. Math. Econ. 36, No. 2, 137--152 (2005; Zbl 1122.60049) Full Text: DOI
Drekic, Steve; Dickson, David C. M.; Stanford, David A.; Willmot, Gordon E. On the distribution of the deficit at ruin when claims are phase-type. (English) Zbl 1142.62088 Scand. Actuar. J. 2004, No. 2, 105-120 (2004). Reviewer: N. M. Zinchenko (Kyïv) MSC: 62P05 91B30 62E10 65C60 PDFBibTeX XMLCite \textit{S. Drekic} et al., Scand. Actuar. J. 2004, No. 2, 105--120 (2004; Zbl 1142.62088) Full Text: DOI
Avram, F.; Usábel, M. Ruin probabilities and deficit for the renewal risk model with phase-type interarrival times. (English) Zbl 1274.91244 Astin Bull. 34, No. 2, 315-332 (2004). MSC: 91B30 60K10 PDFBibTeX XMLCite \textit{F. Avram} and \textit{M. Usábel}, ASTIN Bull. 34, No. 2, 315--332 (2004; Zbl 1274.91244) Full Text: DOI
Willmot, Gordon E.; Dickson, David C. M.; Drekic, Steve; Stanford, David A. The deficit at ruin in the stationary renewal risk model. (English) Zbl 1092.62115 Scand. Actuar. J. 2004, No. 4, 241-255 (2004). Reviewer: N. M. Zinchenko (Kyïv) MSC: 62P05 91B30 PDFBibTeX XMLCite \textit{G. E. Willmot} et al., Scand. Actuar. J. 2004, No. 4, 241--255 (2004; Zbl 1092.62115) Full Text: DOI
Frostig, Esther Upper bounds on the expected time to ruin and on the expected recovery time. (English) Zbl 1123.91335 Adv. Appl. Probab. 36, No. 2, 377-397 (2004). MSC: 91B30 60K25 90B22 PDFBibTeX XMLCite \textit{E. Frostig}, Adv. Appl. Probab. 36, No. 2, 377--397 (2004; Zbl 1123.91335) Full Text: DOI
Bladt, Mogens; Gonzalez, Antonio; Lauritzen, Steffen L. The estimation of phase-type related functionals using Markov chain Monte Carlo methods. (English) Zbl 1090.62102 Scand. Actuar. J. 2003, No. 4, 280-300 (2003). Reviewer: A. D. Borisenko(Kyïv) MSC: 62M99 62F15 65C40 65C60 62P05 62G07 62M05 91B30 PDFBibTeX XMLCite \textit{M. Bladt} et al., Scand. Actuar. J. 2003, No. 4, 280--300 (2003; Zbl 1090.62102) Full Text: DOI
Avram, Florin; Pistorius, Martijn R.; Usabel, Miguel The two barriers ruin problem via a Wiener Hopf decomposition approach. (English) Zbl 1073.60523 An. Univ. Craiova, Ser. Mat. Inf. 30, No. 1, 38-44 (2003). MSC: 60G40 91B30 PDFBibTeX XMLCite \textit{F. Avram} et al., An. Univ. Craiova, Ser. Mat. Inf. 30, No. 1, 38--44 (2003; Zbl 1073.60523)
Avram, Florin; Usabel, Miguel Finite time ruin probabilities with one Laplace inversion. (English) Zbl 1074.91026 Insur. Math. Econ. 32, No. 3, 371-377 (2003). MSC: 91B30 PDFBibTeX XMLCite \textit{F. Avram} and \textit{M. Usabel}, Insur. Math. Econ. 32, No. 3, 371--377 (2003; Zbl 1074.91026) Full Text: DOI
Chan, Wai-Sum; Yang, Hailiang; Zhang, Lianzeng Some results on ruin probabilities in a two-dimensional risk model. (English) Zbl 1055.91041 Insur. Math. Econ. 32, No. 3, 345-358 (2003). MSC: 91B30 PDFBibTeX XMLCite \textit{W.-S. Chan} et al., Insur. Math. Econ. 32, No. 3, 345--358 (2003; Zbl 1055.91041) Full Text: DOI
Dickson, David C. M.; Hipp, Christian Ruin problems for phase-type(2) risk processes. (English) Zbl 0971.91036 Scand. Actuar. J. 2000, No. 2, 147-167 (2000). Reviewer: N.M.Zinchenko (Kyïv) MSC: 91B30 62P20 PDFBibTeX XMLCite \textit{D. C. M. Dickson} and \textit{C. Hipp}, Scand. Actuar. J. 2000, No. 2, 147--167 (2000; Zbl 0971.91036) Full Text: DOI
Dickson, David C. M.; Hipp, Christian Ruin probabilities for Erlang (2) risk processes. (English) Zbl 0907.90097 Insur. Math. Econ. 22, No. 3, 251-262 (1998). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{D. C. M. Dickson} and \textit{C. Hipp}, Insur. Math. Econ. 22, No. 3, 251--262 (1998; Zbl 0907.90097) Full Text: DOI
Gerontidis, Ioannis I. Periodic Markovian replacement chains. (English) Zbl 0803.60057 Stochastic Processes Appl. 51, No. 2, 307-328 (1994). MSC: 60J10 60J20 91D35 PDFBibTeX XMLCite \textit{I. I. Gerontidis}, Stochastic Processes Appl. 51, No. 2, 307--328 (1994; Zbl 0803.60057) Full Text: DOI
Asmussen, Søren; Rolski, Tomasz Computational methods in risk theory: a matrix-algorithmic approach. (English) Zbl 0748.62058 Insur. Math. Econ. 10, No. 4, 259-274 (1992). Reviewer: G.Lord (Princeton) MSC: 62P05 65C99 91B30 PDFBibTeX XMLCite \textit{S. Asmussen} and \textit{T. Rolski}, Insur. Math. Econ. 10, No. 4, 259--274 (1992; Zbl 0748.62058) Full Text: DOI