The perturbed compound Poisson risk model with linear dividend barrier

DOI10.1016/J.CAM.2010.10.034zbMath1208.91069OpenAlexW2108945898MaRDI QIDQ629492

Zai-Ming Liu, Dong-Hai Liu

Publication date: 9 March 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.10.034

zbMATH Keywords

integro-differential equationGerber-Shiu functiondividend paymentslinear dividend barrier

Mathematics Subject Classification ID

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

Related Items (5)

The Erlang(n) risk model with two-sided jumps and a constant dividend barrier ⋮ On the ruin probabilities for a general perturbed renewal risk process ⋮ A scale function based approach for solving integral-differential equations in insurance risk models ⋮ The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier ⋮ On a doubly reflected risk process with running maximum dependent reflecting barriers

Cites Work

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• Risk theory for the compound Poisson process that is perturbed by diffusion
• The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• 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
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The perturbed compound Poisson risk model with multi-layer dividend strategy
• On the probability of ruin in the presence of a linear dividend barrier
• Some Optimal Dividends Problems
• On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
• Optimal Dividends

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