On the renewal risk model under a threshold strategy
type: Item
instance of: scholarly article
title: On the renewal risk model under a threshold strategy
zbMATH Open document ID: 1170.91014
author: Yinghui Dong
author: Guojing Wang
author: Kam Chuen Yuen
published in: Journal of Computational and Applied Mathematics
publication date: 2009-06-25T00:00:00Z
review text: This paper concerns the problem of the renewal risk process under a threshold dividend payment strategy. For this model, the expected discounted dividend payments and the Gerber--Shiu expected discounted penalty function are investigated. Integral equations, integro-differential equations and some closed form expressions for them are derived. When the claims are exponentially distributed, it is verified that the expected penalty of the deficit at ruin is proportional to the ruin probability.
reviewed by: N. G. Gamkrelidze
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 5570553
zbMATH Keywords: dividend payment
zbMATH Keywords: Gerber-Shiu expected discounted penalty function
zbMATH Keywords: renewal risk process
zbMATH Keywords: threshold strategy
MaRDI profile type: Publication
full work available at URL: j.cam.2008.10.049
OpenAlex ID: W2137880641
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DOI: 10.1016/J.CAM.2008.10.049
description: scientific article; zbMATH DE number 5570553