On the upcrossing and downcrossing probabilities of a dual risk model with phase-type gains

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20150027023</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20150911144820.0</controlfield>
    <controlfield tag="008">150805e20100503esp|||p      |0|||b|spa d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1=" " ind2=" ">
      <subfield code="0">MAPA20110031138</subfield>
      <subfield code="a">Ng, A.C-Y.</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">On the upcrossing and downcrossing probabilities of a dual risk model with phase-type gains</subfield>
      <subfield code="c">Andrew C.Y. Ng</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">In this paper, we consider the dual of the classical Cramér-Lundberg model when gains follow a phase-type distribution. By using the property of phase-type distribution, two pairs of upcrossing and downcrossing barrier probabilities are derived. Explicit formulas for the expected total discounted dividends until ruin and the Laplace transform of the time of ruin under a variety of dividend strategies can then be obtained without the use of Laplace transforms.
</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000420</subfield>
      <subfield code="t">Astin bulletin</subfield>
      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
      <subfield code="x">0515-0361</subfield>
      <subfield code="g">03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 281-306</subfield>
    </datafield>
  </record>
</collection>