Constant dividend barrier in a risk model with interclaim-dependent claim sizes

DOI10.1016/J.INSMATHECO.2006.12.002zbMath1141.91523OpenAlexW2069533020MaRDI QIDQ939323

David Landriault

Publication date: 22 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.12.002

zbMATH Keywords

integro-differential equationrisk modeldefective renewal equationGerber-Shiu discounted penalty functionconstant dividend barrierexpected discounted dividend paymentsinterclaim-dependent claim sizes

Mathematics Subject Classification ID

Related Items (23)

On the occupation times in a delayed Sparre Andersen risk model with exponential claims ⋮ On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy ⋮ On the compound Poisson risk model with dependence and a threshold dividend strategy ⋮ Semiparametric estimation in the optimal dividend barrier for the classical risk model ⋮ A ruin model with random income and dependence between claim sizes and claim intervals ⋮ Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy ⋮ On a risk model with random incomes and dependence between claim sizes and claim intervals ⋮ The risk model with stochastic premiums, dependence and a threshold dividend strategy ⋮ On a discrete Markov-modulated risk model with random premium income and delayed claims ⋮ On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy ⋮ Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy ⋮ The compound Poisson risk model with dependence under a multi-layer dividend strategy ⋮ The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier ⋮ Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula ⋮ On a perturbed Sparre Andersen risk model with dividend barrier and dependence ⋮ On the expected discounted penalty function and optimal dividend strategy for a risk model with random incomes and interclaim-dependent claim sizes ⋮ A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium ⋮ Unnamed Item ⋮ On a discrete-time risk model with general income and time-dependent claims ⋮ Expected discounted dividends in a discrete semi-Markov risk model ⋮ Review of statistical actuarial risk modelling ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy ⋮ Strategies for Dividend Distribution: A Review

Cites Work

• A ruin model with dependence between claim sizes and claim intervals
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• On ruin for the Erlang \((n)\) risk process
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• 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.
• Lundberg approximations for compound distributions with insurance applications
• On a class of renewal risk models with a constant dividend barrier
• 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
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• On Optimal Dividend Strategies In The Compound Poisson Model
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• The Time Value of Ruin in a Sparre Andersen Model
• On the Time Value of Ruin
• Unnamed Item

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