On the renewal risk model under a threshold strategy (Q1026427): Difference between revisions

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Property / DOI: 10.1016/j.cam.2008.10.049 / rank
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Property / author: Guo-jing Wang / rank
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Property / author: Kam-Chuen Yuen / rank
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Property / author
 
Property / author: Guo-jing Wang / rank
 
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Property / author: Kam-Chuen Yuen / rank
 
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Property / full work available at URL: https://doi.org/10.1016/j.cam.2008.10.049 / rank
 
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Property / OpenAlex ID: W2137880641 / rank
 
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Latest revision as of 13:35, 10 December 2024

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On the renewal risk model under a threshold strategy
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    On the renewal risk model under a threshold strategy (English)
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    25 June 2009
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    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.
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    dividend payment
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    Gerber-Shiu expected discounted penalty function
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    renewal risk process
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    threshold strategy
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