A perturbed risk model with constant interest and periodic barrier dividend strategy

DOI10.1080/03610918.2019.1614620zbMath1497.91077OpenAlexW2945882735WikidataQ127870798 ScholiaQ127870798MaRDI QIDQ5082714

Deng Guohe, Yang Long

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1614620

zbMATH Keywords

interest rateGerber-Shiu functionperiodic dividend strategyperturbed compound Poisson risk modelLaplace transform of ruin time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)

Related Items (2)

Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives

Cites Work

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• On a risk model with randomized dividend-decision times
• Dividend problems in the dual model with diffusion and exponentially distributed observation time
• Randomized observation periods for the compound Poisson risk model: the discounted penalty function
• Ruin Probabilities for the Perturbed Compound Poisson Risk Process with Investment
• Randomized observation periods for the compound Poisson risk model: Dividends
• Ruin in the perturbed compound Poisson risk process under interest force

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