Absolute ruin in the compound Poisson risk model with constant dividend barrier

DOI10.1016/J.SPL.2008.01.076zbMath1283.91091OpenAlexW2028312265MaRDI QIDQ730714

Haili Yuan, Hu, Yijun

Publication date: 30 September 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.01.076

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (3)

Absolute ruin problems for the risk processes with interest and a constant dividend barrier ⋮ On the expectation of total discounted operating costs up to default and its applications ⋮ On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest

Cites Work

• Unnamed Item
• The win-first probability under interest force
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• The effect of interest on negative surplus
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Ruin estimates under interest force
• The compound Poisson risk model with a threshold dividend strategy
• On the time value of absolute ruin with debit interest
• Martingales and insurance risk
• On the Time Value of Ruin

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