The perturbed compound Poisson risk model with proportional investment

Integro-ordinary differential equations (45J05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

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The Gerber-Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy
On optimal dividends with exponential and linear penalty payments
On optimality of the barrier strategy for the classical risk model with interest
Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns
The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
The perturbed Sparre Andersen model with a threshold dividend strategy
Optimal investment and premium control in a nonlinear diffusion model
A compound Poisson risk model with proportional investment
A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy
On the dual risk model with diffusion under a mixed dividend strategy
Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence
Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest
Dividends under threshold dividend strategy with randomized observation periods and capital-exchange agreement
Risk theory in a stochastic economic environment
A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
Ruin probabilities and penalty functions with stochastic rates of interest
A numerical sinc method for systems of integro-differential equations
Optimal dividend strategies for two collaborating insurance companies
A decomposition of the ruin probability for the risk process perturbed by diffusion

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