The compound Poisson risk model with dependence under a multi-layer dividend strategy

DOI10.1007/S11766-011-2279-4zbMath1240.91089OpenAlexW2045336496MaRDI QIDQ655738

Hu Yang, Zhimin Zhang

Publication date: 27 January 2012

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-011-2279-4

zbMATH Keywords

integro-differential equationheavy-tailed distributionmulti-layer dividend strategyGerber-Shiu discounted penalty function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model ⋮ The Erlang(n) risk model with two-sided jumps and a constant dividend barrier ⋮ On a discrete-time risk model with general income and time-dependent claims ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy

Cites Work

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• On ruin for the Erlang \((n)\) risk process
• The compound Poisson risk model with multiple thresholds
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• On the time to ruin for Erlang(2) risk processes.
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Analysis of a defective renewal equation arising in ruin theory
• The compound Poisson risk model with a threshold dividend strategy
• The perturbed compound Poisson risk model with multi-layer dividend strategy
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• On a risk model with dependence between interclaim arrivals and claim sizes
• Optimal Dividends

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