On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy

DOI10.1080/03461230902850162zbMath1224.91071OpenAlexW2086666703MaRDI QIDQ3077755

Shuanming Li, Yi Lu

Publication date: 22 February 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230902850162

zbMATH Keywords

compound Poisson risk processtime of ruinmaximum severity of ruinthreshold dividend strategymaximum surplus before ruin

Mathematics Subject Classification ID

Related Items (3)

Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model ⋮ The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula ⋮ The maximum surplus before ruin for two classes of perturbed risk model

Cites Work

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• When does the surplus reach a given target?
• On some measures of the severity of ruin in the classical Poisson model
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Analysis of a defective renewal equation arising in ruin theory
• The compound Poisson risk model with a threshold dividend strategy
• Some Optimal Dividends Problems
• On the Time Value of Ruin

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