{"id":"https://openalex.org/W2059821237","doi":"https://doi.org/10.1080/03461230701554080","title":"On the analysis of a multi-threshold Markovian risk model","display_name":"On the analysis of a multi-threshold Markovian risk model","publication_year":2007,"publication_date":"2007-12-01","ids":{"openalex":"https://openalex.org/W2059821237","doi":"https://doi.org/10.1080/03461230701554080","mag":"2059821237"},"language":"en","primary_location":{"id":"doi:10.1080/03461230701554080","doi":"https://doi.org/10.1080/03461230701554080","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03461230701554080","pdf_url":null,"source":{"id":"https://openalex.org/S125980181","display_name":"Scandinavian Actuarial Journal","issn_l":"0346-1238","issn":["0346-1238","1651-2030"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","jufo-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Scandinavian Actuarial Journal","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5082765077","display_name":"Andrei L. Badescu","orcid":"https://orcid.org/0000-0002-1531-3160","observed_orcids":["https://orcid.org/0000-0002-1531-3160"]},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Andrei Badescu","raw_affiliation_strings":["Department of Statistics, University of Toronto, Toronto, Ontario, M5S 363, Canada","Department of Statistics , University of Toronto , Toronto, Ontario, M5S 363, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, University of Toronto, Toronto, Ontario, M5S 363, Canada","institution_ids":["https://openalex.org/I185261750"]},{"raw_affiliation_string":"Department of Statistics , University of Toronto , Toronto, Ontario, M5S 363, Canada","institution_ids":["https://openalex.org/I185261750"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5014189437","display_name":"Steve Drekic","orcid":"https://orcid.org/0000-0003-4950-2581","observed_orcids":["https://orcid.org/0000-0003-4950-2581"]},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Steve Drekic","raw_affiliation_strings":["Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, N2L 361, Canada","Department of Statistics and Actuarial Science , University of Waterloo , Waterloo, Ontario, N2L 361, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, N2L 361, Canada","institution_ids":["https://openalex.org/I151746483"]},{"raw_affiliation_string":"Department of Statistics and Actuarial Science , University of Waterloo , Waterloo, Ontario, N2L 361, Canada","institution_ids":["https://openalex.org/I151746483"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5055554586","display_name":"David Landriault","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"David Landriault","raw_affiliation_strings":["Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, N2L 361, Canada","Department of Statistics and Actuarial Science , University of Waterloo , Waterloo, Ontario, N2L 361, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, N2L 361, Canada","institution_ids":["https://openalex.org/I151746483"]},{"raw_affiliation_string":"Department of Statistics and Actuarial Science , University of Waterloo , Waterloo, Ontario, N2L 361, Canada","institution_ids":["https://openalex.org/I151746483"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5055554586"],"corresponding_institution_ids":["https://openalex.org/I151746483"],"apc_list":null,"apc_paid":null,"fwci":5.2247,"has_fulltext":false,"cited_by_count":39,"citation_normalized_percentile":{"value":0.94694767,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"2007","issue":"4","first_page":"248","last_page":"260"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":1.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":1.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T13500","display_name":"Probability and Statistical Research","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/time-to-ruin","display_name":"time to ruin","score":0.8999999761581421},{"id":"https://openalex.org/keywords/laplace-stieltjes-transform","display_name":"Laplace-Stieltjes transform","score":0.9739999771118164},{"id":"https://openalex.org/keywords/deficit-at-ruin","display_name":"deficit at ruin","score":0.8159999847412109},{"id":"https://openalex.org/keywords/surplus-process","display_name":"surplus process","score":0.6240000128746033},{"id":"https://openalex.org/keywords/recursive-approach","display_name":"recursive approach","score":0.6240000128746033},{"id":"https://openalex.org/keywords/ruin-theory","display_name":"ruin theory","score":0.4359999895095825}],"concepts":[{"id":"https://openalex.org/C116168712","wikidata":"https://www.wikidata.org/wiki/Q181201","display_name":"Dividend","level":2,"score":0.7203945517539978},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6281176209449768},{"id":"https://openalex.org/C29859451","wikidata":"https://www.wikidata.org/wiki/Q17082609","display_name":"Ruin theory","level":3,"score":0.6235812902450562},{"id":"https://openalex.org/C97937538","wikidata":"https://www.wikidata.org/wiki/Q199691","display_name":"Laplace transform","level":2,"score":0.5439749360084534},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.5203344821929932},{"id":"https://openalex.org/C6927289","wikidata":"https://www.wikidata.org/wiki/Q1100466","display_name":"Present value","level":2,"score":0.5174049139022827},{"id":"https://openalex.org/C2986432223","wikidata":"https://www.wikidata.org/wiki/Q5449740","display_name":"Risk model","level":2,"score":0.502919614315033},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4830246865749359},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.4448942542076111},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4367656111717224},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.43641912937164307},{"id":"https://openalex.org/C186659197","wikidata":"https://www.wikidata.org/wiki/Q5452195","display_name":"First-hitting-time model","level":2,"score":0.41849175095558167},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.23229113221168518},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.11136233806610107},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.09956267476081848}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/03461230701554080","doi":"https://doi.org/10.1080/03461230701554080","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03461230701554080","pdf_url":null,"source":{"id":"https://openalex.org/S125980181","display_name":"Scandinavian Actuarial Journal","issn_l":"0346-1238","issn":["0346-1238","1651-2030"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","jufo-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Scandinavian Actuarial Journal","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:sactxx:v:2007:y:2007:i:4:p:248-260","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/03461230701554080","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":23,"referenced_works":["https://openalex.org/W1972972798","https://openalex.org/W1975338270","https://openalex.org/W1981137970","https://openalex.org/W2001718984","https://openalex.org/W2011430321","https://openalex.org/W2028442480","https://openalex.org/W2037440618","https://openalex.org/W2039542099","https://openalex.org/W2062573385","https://openalex.org/W2076021616","https://openalex.org/W2087769608","https://openalex.org/W2096512426","https://openalex.org/W2105980583","https://openalex.org/W2112699024","https://openalex.org/W2120070990","https://openalex.org/W2120558174","https://openalex.org/W2139290908","https://openalex.org/W2158226696","https://openalex.org/W2799598053","https://openalex.org/W4233148249","https://openalex.org/W4253060460","https://openalex.org/W4285719527","https://openalex.org/W6607704830"],"related_works":["https://openalex.org/W2070419655","https://openalex.org/W2626829540","https://openalex.org/W2354594548","https://openalex.org/W2901314747","https://openalex.org/W2073365822","https://openalex.org/W1584036441","https://openalex.org/W2555964653","https://openalex.org/W2772626097","https://openalex.org/W2366272315","https://openalex.org/W2352668269"],"abstract_inverted_index":{"We":[0,40],"consider":[1],"a":[2,10,122],"class":[3],"of":[4,46,49,61,109,128],"Markovian":[5],"risk":[6],"models":[7],"perturbed":[8],"by":[9],"multiple":[11],"threshold":[12],"dividend":[13,111],"strategy":[14],"in":[15,30,97],"which":[16,125],"the":[17,26,31,42,47,50,57,62,68,75,93,98,105],"insurer":[18],"collects":[19],"premiums":[20],"at":[21,70,86],"rate":[22,80,87],"c":[23],"i":[24,89,91],"whenever":[25,92],"surplus":[27,33,63,94,100,135],"level":[28,95],"resides":[29,96],"i-th":[32,99],"layer,":[34,101],"i=1,":[35],"2,":[36],"\u2026,n+1":[37],"where":[38],"n<\u221e.":[39],"derive":[41,104],"Laplace-Stieltjes":[43],"transform":[44],"(LST)":[45],"distribution":[48],"time":[51],"to":[52,65,115,137],"ruin":[53,66],"as":[54,56],"well":[55],"discounted":[58,107],"joint":[59],"density":[60],"prior":[64,114],"and":[67],"deficit":[69],"ruin.":[71,116],"By":[72],"interpreting":[73],"that":[74],"insurer,":[76],"whose":[77],"gross":[78],"premium":[79],"is":[81],"c,":[82],"pays":[83],"dividends":[84],"continuously":[85],"d":[88],"=c\u2212c":[90],"we":[102],"also":[103],"expected":[106],"value":[108],"total":[110],"payments":[112],"made":[113],"Our":[117],"results":[118],"are":[119],"obtained":[120],"via":[121],"recursive":[123],"approach":[124],"makes":[126],"use":[127],"an":[129,133,138],"existing":[130],"connection,":[131],"linking":[132],"insurer's":[134],"process":[136],"embedded":[139],"fluid":[140],"flow":[141],"process.":[142]},"counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":3},{"year":2013,"cited_by_count":4},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2025-10-10T00:00:00"}
