The risk model with stochastic premiums, dependence and a threshold dividend strategy

DOI10.15559/17-VMSTA89zbMath1410.91284arXiv1801.01006MaRDI QIDQ1697201

Olena Ragulina

Publication date: 15 February 2018

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.01006

zbMATH Keywords

integro-differential equationruin probabilityGerber-Shiu functionthreshold strategyFarlie-Gumbel-Morgenstern copulaexpected discounted dividend paymentsrisk model with stochastic premiums

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Integro-partial differential equations (35R09)

Related Items (4)

Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk ⋮ Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy ⋮ Ruin probability in models with stochastic premiums ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy

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