A risk model with paying dividends and random environment
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Bara | - |
dc.contributor.author | Kim, Hwa-Sung | - |
dc.contributor.author | Kim, Jeongsim | - |
dc.date.accessioned | 2021-09-09T09:51:49Z | - |
dc.date.available | 2021-09-09T09:51:49Z | - |
dc.date.created | 2021-06-10 | - |
dc.date.issued | 2008-04 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/123856 | - |
dc.description.abstract | We consider a discrete time risk model where dividends are paid to insureds and the claim size has a discrete phase-type distribution, but the claim sizes vary according to an underlying Markov process called an environment process. In addition, the probability of paying the next dividend is affected by the current state of the underlying Markov process. We provide explicit expressions for the ruin probability and the deficit distribution at ruin by extracting a QBD (quasi-birth-and-death) structure in the model and then analyzing the QBD process. Numerical examples are also given. (c) 2007 Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.subject | CONSTANT BARRIER | - |
dc.subject | EXPECTED TIME | - |
dc.subject | RUIN | - |
dc.subject | SURPLUS | - |
dc.title | A risk model with paying dividends and random environment | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Bara | - |
dc.identifier.doi | 10.1016/j.insmatheco.2007.08.001 | - |
dc.identifier.scopusid | 2-s2.0-40949156693 | - |
dc.identifier.wosid | 000255505900025 | - |
dc.identifier.bibliographicCitation | INSURANCE MATHEMATICS & ECONOMICS, v.42, no.2, pp.717 - 726 | - |
dc.relation.isPartOf | INSURANCE MATHEMATICS & ECONOMICS | - |
dc.citation.title | INSURANCE MATHEMATICS & ECONOMICS | - |
dc.citation.volume | 42 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 717 | - |
dc.citation.endPage | 726 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalResearchArea | Mathematical Methods In Social Sciences | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.relation.journalWebOfScienceCategory | Mathematics, Interdisciplinary Applications | - |
dc.relation.journalWebOfScienceCategory | Social Sciences, Mathematical Methods | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordPlus | CONSTANT BARRIER | - |
dc.subject.keywordPlus | EXPECTED TIME | - |
dc.subject.keywordPlus | RUIN | - |
dc.subject.keywordPlus | SURPLUS | - |
dc.subject.keywordAuthor | ruin probability | - |
dc.subject.keywordAuthor | dividend | - |
dc.subject.keywordAuthor | environment process | - |
dc.subject.keywordAuthor | deficit distribution | - |
dc.subject.keywordAuthor | QBD (quasi-birth-and-death) process | - |
dc.subject.keywordAuthor | phase-type distribution | - |
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