Dassios, A. and Embrechts, P. (1989) Martingales and Insurance risk. Stochastic Models, 5, 149-166.
http://dx.doi.org/10.1080/15326348908807105

has been cited by the following article:

• TITLE: Markov-Dependent Risk Model with Multi-Layer Dividend Strategy and Investment Interest under Absolute Ruin

  AUTHORS: Bangling Li, Shixia Ma

  KEYWORDS: Markov-Dependent Risk Model, Absolute Ruin, Multi-Layer Dividend Strategy, Gerber-Shiu Function, Investment Interest

  JOURNAL NAME: Journal of Mathematical Finance, Vol.6 No.2, March 9, 2016

  ABSTRACT: In this paper, we consider the Markov-dependent risk model with multi-layer dividend strategy and investment interest under absolute ruin, in which the claim occurrence and the claim amount are regulated by an external discrete time Markov chain. We derive systems of integro-differential equations satisfied by the moment-generating function, the nth moment of the discounted dividend payments prior to absolute ruin and the Gerber-Shiu function. Finally, the matrix form of systems of integro-differential equations satisfied by the Gerber-Shiu function is presented.