On a perturbed Sparre Andersen risk model with multi-layer dividend strategy

DOI10.1016/J.CAM.2009.06.032zbMath1173.91408OpenAlexW2073930170MaRDI QIDQ843170

Zhimin Zhang, Hu Yang

Publication date: 29 September 2009

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.2009.06.032

zbMATH Keywords

multi-layer dividend strategydefective renewal equationdiscounted penalty functionSparre Andersen risk model

Mathematics Subject Classification ID

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

Related Items (3)

On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy ⋮ On a perturbed by diffusion compound Poisson risk model with delayed claims and multi-layer dividend strategy ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy

Cites Work

• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
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• The perturbed Sparre Andersen model with a threshold dividend strategy
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• On ruin for the Erlang \((n)\) risk process
• The compound Poisson risk model with multiple thresholds
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• Controlled diffusion models for optimal dividend pay-out
• 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 Optimal Dividend Strategies In The Compound Poisson Model
• A Risk Model with Multilayer Dividend Strategy
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• Optimal Dividends
• The Time Value of Ruin in a Sparre Andersen Model

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