On a dual model with a dividend threshold

DOI10.1016/j.insmatheco.2008.11.011zbMath1163.91441OpenAlexW2078117089MaRDI QIDQ1017775

Andrew Cheuk-Yin Ng

Publication date: 12 May 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.11.011

zbMATH Keywords

ruin theorydual risk modelthreshold strategyoptimal threshold problem

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (53)

Parisian ruin for the dual risk process in discrete-time ⋮ Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences ⋮ The dual risk model with dividends taken at arrival ⋮ Asymptotic analysis for optimal dividends in a dual risk model ⋮ On the optimal dividend problem in the dual model with surplus-dependent premiums ⋮ On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ Ruin and dividend measures in the renewal dual risk model ⋮ Probability Density Function of a Non-profit Fund Surplus Under Hysteresis Surplus Control ⋮ On a dual risk model perturbed by diffusion with dividend threshold ⋮ SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL ⋮ On dividends in the phase–type dual risk model ⋮ On two actuarial quantities for the compound Poisson risk model with taxes and a threshold dividend strategy ⋮ On the dual risk model with diffusion under a mixed dividend strategy ⋮ Ruin probability in the dual risk model with two revenue streams ⋮ The dual risk model under a mixed ratcheting and periodic dividend strategy ⋮ On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property ⋮ Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs ⋮ Constant barrier strategies in a two-state Markov-modulated dual risk model ⋮ A dual risk model with additive and proportional gains: ruin probability and dividends ⋮ A scale function based approach for solving integral-differential equations in insurance risk models ⋮ On the dual risk model with Parisian implementation delays under a mixed dividend strategy ⋮ Parisian ruin in the dual model with applications to the \(G/M/1\) queue ⋮ Ruin-related problems in the dual risk model under two different randomized observations ⋮ Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate ⋮ On a dual model with barrier strategy ⋮ Optimal dividend and capital injection strategy with fixed costs and restricted dividend rate for a dual model ⋮ A delayed dual risk model ⋮ Optimal financing and dividend policy with Markovian switching regimes ⋮ An extension of Paulsen-Gjessing's risk model with stochastic return on investments ⋮ On the dual risk model with Parisian implementation delays in dividend payments ⋮ On the Upcrossing and Downcrossing Probabilities of a Dual Risk Model With Phase-Type Gains ⋮ The Discounted Moments of the Surplus After the Last Innovation Before Ruin Under the Dual Risk Model ⋮ The ruin time under the Sparre Andersen dual model ⋮ Optimal dividend problem with a terminal value for spectrally positive Lévy processes ⋮ Dividend problems in the dual risk model ⋮ Optimal dividend strategies in a dual model with capital injections ⋮ Parisian ruin with a threshold dividend strategy under the dual Lévy risk model ⋮ Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin ⋮ ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS ⋮ Review of statistical actuarial risk modelling ⋮ Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model ⋮ Optimal dividends with an affine penalty ⋮ The exit time and the dividend value function for one-dimensional diffusion processes ⋮ The perturbed dual risk model with constant interest and a threshold dividend strategy ⋮ Optimal dividend strategy with transaction costs for an upward jump model ⋮ Dividend problems with a barrier strategy in the dual risk model until bankruptcy ⋮ Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model ⋮ Application of Advanced Integrodifferential Equations in Insurance Mathematics and Process Engineering ⋮ On a doubly reflected risk process with running maximum dependent reflecting barriers ⋮ A unifying approach to the analysis of business with random gains ⋮ Optimal dividend strategy for the dual model with surplus-dependent expense ⋮ Optimal dividend-equity issuance strategy in a dual model with fixed and proportional transaction costs ⋮ Strategies for Dividend Distribution: A Review

Uses Software

• EMpht

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the dual risk model with tax payments
• Optimal dividends with incomplete information in the dual model
• Optimal dividends in the dual model
• Optimizing venture capital investments in a jump diffusion model
• On optimal dividends: from reflection to refraction
• Optimal Dividends in the Dual Model with Diffusion
• On Optimal Dividend Strategies In The Compound Poisson Model
• Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
• Stochastic Life Annuities
• Ruin Probabilities of a Dual Markov-Modulated Risk Model
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• On the Time Value of Ruin

This page was built for publication: On a dual model with a dividend threshold