Dividend barrier strategy: proceed with caution

DOI10.1016/j.spl.2018.01.016zbMath1419.91382OpenAlexW2789015895MaRDI QIDQ1640946

Kristina P. Sendova, Ruixi Zhang, Chen Yang

Publication date: 14 June 2018

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

Full work available at URL: https://doi.org/10.1016/j.spl.2018.01.016

zbMATH Keywords

Parisian ruintime of ruinprobability of ruinSparre Andersen risk processLévy risk process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

On a double barrier hybrid dividend strategy in a compound Poisson risk model with stochastic income, On the dual risk model with diffusion under a mixed dividend strategy, Parisian ruin with a threshold dividend strategy under the dual Lévy risk model, Dividends under threshold dividend strategy with randomized observation periods and capital-exchange agreement

Cites Work

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• The compound Poisson risk model with a threshold dividend strategy
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