A risk model with paying dividends and random environment

DOI10.1016/J.INSMATHECO.2007.08.001zbMath1152.91589OpenAlexW1981400320MaRDI QIDQ998288

Bara Kim, Jeongsim Kim, Hwa-Sung Kim

Publication date: 28 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.08.001

zbMATH Keywords

phase-type distributionruin probabilitydividendenvironment processdeficit distributionQBD (quasi-birth-and-death) process

Mathematics Subject Classification ID

Related Items (7)

\(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment ⋮ Ruin analysis of a threshold strategy in a discrete-time Sparre Andersen model ⋮ A threshold-based risk process with a waiting period to pay dividends ⋮ Expected present value of total dividends in a delayed claims risk model under stochastic interest rates ⋮ The compound binomial model with randomly paying dividends to shareholders and policyholders ⋮ On the Gerber-Shiu discounted penalty function in a risk model with two types of delayed-claims and random income ⋮ A periodic dividend problem with inconstant barrier in Markovian environment

Cites Work

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• Risk theory with a nonlinear dividend barrier
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems
• The compound binomial model with randomized decisions on paying dividends
• The expected time to ruin in a risk process with constant barrier via martingales
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs

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