A process with stochastic claim frequency and a linear dividend barrier

DOI10.1016/S0167-6687(98)00037-7zbMath0944.91032MaRDI QIDQ1293811

Thomas Siegl, Robert F. Tichy

Publication date: 26 September 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

risk processPoisson processsurvival probabilitylinear dividend barrierstochastic claim frequencystorm damage insurance

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (13)

Some results behind dividend problems ⋮ On the dividends of the risk model with Markovian barrier ⋮ Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE ⋮ The Erlang(n) risk model with two-sided jumps and a constant dividend barrier ⋮ The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier ⋮ Lévy risk model with two-sided jumps and a barrier dividend strategy ⋮ The compound Pascal model with dividends paid under random interest ⋮ Pricing and simulating catastrophe risk bonds in a Markov-dependent environment ⋮ Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends ⋮ Optimal Dividends ⋮ Review of statistical actuarial risk modelling ⋮ On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times ⋮ Strategies for Dividend Distribution: A Review

Cites Work

• The Wiener process with drift between a linear retaining and an absorbing barrier
• On the probability of ruin in the presence of a linear dividend barrier
• Risk theory in a Markovian environment
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A process with stochastic claim frequency and a linear dividend barrier