On the dual risk model with Parisian implementation delays in dividend payments

DOI10.1016/j.ejor.2016.09.018zbMath1394.91204OpenAlexW2520905928MaRDI QIDQ1752782

Eric C. K. Cheung, Jeff T. Y. Wong

Publication date: 24 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.09.018

zbMATH Keywords

dual risk modeltime of ruinErlangizationdiscounted dividendsParisian implementation delays

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (16)

The dual risk model with dividends taken at arrival ⋮ On spectrally positive Lévy risk processes with Parisian implementation delays in dividend payments ⋮ Periodic threshold-type dividend strategy in the compound Poisson risk model ⋮ On the dual risk model with Parisian implementation delays under a mixed dividend strategy ⋮ Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims ⋮ On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy ⋮ On de Finetti's optimal impulse dividend control problem under Chapter 11 bankruptcy ⋮ A threshold-based risk process with a waiting period to pay dividends ⋮ On the optimality of joint periodic and extraordinary dividend strategies ⋮ Risk modelling on liquidations with Lévy processes ⋮ Flexibility premium of emissions permits ⋮ Risk- and value-based management for non-life insurers under solvency constraints ⋮ Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle ⋮ Parisian ruin with a threshold dividend strategy under the dual Lévy risk model ⋮ Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs ⋮ Draw-down Parisian ruin for spectrally negative Lévy processes

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