A note on the perturbed compound Poisson risk model with a threshold dividend strategy

DOI10.1007/S10255-007-7016-7zbMath1187.62159OpenAlexW2065702931MaRDI QIDQ844049

N. E. Zubov

Publication date: 18 January 2010

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-007-7016-7

zbMATH Keywords

integro-differential equationsGerber-Shiu functionexpected discounted payments function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Integro-partial differential equations (45K05) Stochastic processes (60G99) Markov processes (60J99)

Cites Work

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• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
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• The compound Poisson risk model with a threshold dividend strategy
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• Optimal Dividends
• A decomposition of the ruin probability for the risk process perturbed by diffusion

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