Infinite series expansion of some finite-time dividend and ruin related functions

DOI10.1080/03610926.2022.2076124OpenAlexW4281400389MaRDI QIDQ6082449

Zhimin Zhang, Jiayi Xie

Publication date: 29 November 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2022.2076124

zbMATH Keywords

Laguerre series expansioninfinite series expansionLaplace transform of ruin timeexpected present value of dividend payments

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• A note on moments of dividends
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
• A Fourier-cosine method for finite-time ruin probabilities
• Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
• Finite-time dividend problems in a Lévy risk model under periodic observation
• Phase-type Fitting of scale functions for spectrally negative Lévy processes
• On a class of renewal risk models with a constant dividend barrier
• Introductory lectures on fluctuations of Lévy processes with applications.
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• A new efficient method for estimating the Gerber–Shiu function in the classical risk model
• Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions
• Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
• Optimal Dividends
• The expected discounted penalty function: from infinite time to finite time

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