Dividend-reinsurance strategy in the Sparre Andersen model
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Publication:1940869
DOI10.1007/s10114-012-0353-3zbMath1268.91084OpenAlexW2092573791MaRDI QIDQ1940869
Shao Yue Liu, Ji Yang Tan, Lin Xiao, Xiang-Qun Yang
Publication date: 8 March 2013
Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10114-012-0353-3
iterationreinsuranceexpected discounted penalty functionSparre Andersen modelconstant dividend barrier
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Cites Work
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- Methods for estimating the optimal dividend barrier and the probability of ruin
- On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
- On a class of renewal risk models with a constant dividend barrier
- On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
- Some Optimal Dividends Problems
- “On the Time Value of Ruin”, Hans U. Gerber and Elias S.W. Shiu, January 1998
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