The distribution of total dividend payments in a Sparre Andersen model

DOI10.1016/j.spl.2009.01.018zbMath1160.62359OpenAlexW2065888517MaRDI QIDQ1017825

Yi Lu, Shuanming Li

Publication date: 12 May 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.01.018

zbMATH Keywords

ruin probabilities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

Related Items

On the occupation times in a delayed Sparre Andersen risk model with exponential claims ⋮ Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes ⋮ The Gerber-Shiu penalty functions for two classes of renewal risk processes ⋮ The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process ⋮ Analysis of the multiple roots of the Lundberg fundamental equation in the PH (n) risk model ⋮ Number of claims and ruin time for a refracted risk process ⋮ Expected discounted dividends in a discrete semi-Markov risk model ⋮ Maximum surplus and \(R_n\) class of distributions with an application to dividends

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