The compound Pascal model with dividends paid under random interest

DOI10.1016/J.SPL.2012.03.037zbMath1246.91061OpenAlexW1991071459MaRDI QIDQ449394

Ying Wang, Xian-Min Geng

Publication date: 30 August 2012

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

Full work available at URL: https://doi.org/10.1016/j.spl.2012.03.037

zbMATH Keywords

ruin probabilityjoint distributiondividendcompound Pascal modellundberg inequality

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Cites Work

• Risk theory with a nonlinear dividend barrier
• A process with stochastic claim frequency and a linear dividend barrier
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Ruin probabilities with a Markov chain interest model
• On a class of renewal risk models with a constant dividend barrier
• The compound binomial model with randomized decisions on paying dividends
• The compound Poisson risk model with a threshold dividend strategy
• The expected time to ruin in a risk process with constant barrier via martingales
• On the probability of ruin in the presence of a linear dividend barrier

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