On the renewal risk model under a threshold strategy

DOI10.1016/J.CAM.2008.10.049zbMath1170.91014OpenAlexW2137880641MaRDI QIDQ1026427

Yinghui Dong, Kam-Chuen Yuen, Guo-jing Wang

Publication date: 25 June 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2008.10.049

zbMATH Keywords

dividend paymentthreshold strategyGerber-Shiu expected discounted penalty functionrenewal risk process

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items (4)

The Gerber-Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy ⋮ On the total operating costs up to default in a renewal risk model ⋮ An optimal dividend strategy in the discrete Sparre Andersen model with bounded dividend rates ⋮ On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence

Cites Work

• On the renewal risk process with stochastic interest
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• On the discounted penalty function in the renewal risk model with general interclaim times
• On the time to ruin for Erlang(2) risk processes.
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.
• On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes.
• On the discounted distribution functions for the Erlang(2) risk process
• On a class of renewal risk models with a constant dividend barrier
• The compound Poisson risk model with a threshold dividend strategy
• The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
• The Classical Risk Model with Constant Interest and Threshold Strategy
• On Optimal Dividend Strategies In The Compound Poisson Model
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
• Optimal Dividends
• The Time Value of Ruin in a Sparre Andersen Model
• On the Time Value of Ruin

This page was built for publication: On the renewal risk model under a threshold strategy