The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy

DOI10.1016/J.CAM.2009.10.004zbMath1222.91023OpenAlexW2068753196MaRDI QIDQ847166

Shan Gao, Zai-Ming Liu

Publication date: 12 February 2010

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.2009.10.004

zbMATH Keywords

Brownian motionintegro-differential equationdiscounted dividend paymentsthreshold dividend strategyGerber-Shiu discounted penalty functionconstant interest

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Related Items (9)

Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy ⋮ On the ruin probabilities for a general perturbed renewal risk process ⋮ The perturbed compound Poisson risk model with linear dividend barrier ⋮ The perturbed compound Poisson risk model with proportional investment ⋮ Ruin probabilities of a bidimensional risk model with investment ⋮ Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves ⋮ The perturbed Sparre Andersen model with interest and a threshold dividend strategy ⋮ The perturbed dual risk model with constant interest and a threshold dividend strategy ⋮ Omega model for a jump-diffusion process with a two-step premium rate

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