scientific article; zbMATH DE number 7408837

zbMath1471.62495MaRDI QIDQ5156824

Wu-Yuan Jiang

Publication date: 12 October 2021

Full work available at URL: https://dergipark.org.tr/en/pub/hujms/issue/43219/524480

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

diffusion processphase-type distributionmultiple thresholdsdividend paymentstwo classes of claims

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

Cites Work

• Unnamed Item
• The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds
• The Gerber-Shiu penalty functions for two classes of renewal risk processes
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy
• The perturbed Sparre Andersen model with a threshold dividend strategy
• The compound Poisson risk model with multiple thresholds
• The Markovian regime-switching risk model with a threshold dividend strategy
• On the time to ruin for Erlang(2) risk processes.
• The phase-type risk model perturbed by diffusion under a threshold dividend strategy
• The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims
• On the expected discounted penalty functions for two classes of risk processes
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• Perturbed MAP Risk Models with Dividend Barrier Strategies
• The Time Value of Ruin in a Sparre Andersen Model

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