On the classical risk model with credit and debit interests under absolute ruin

DOI10.1016/j.spl.2009.11.020zbMath1183.91078MaRDI QIDQ2267624

Erqiang Li, Chuan-Cun Yin, Chun-Wei Wang

Publication date: 1 March 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.11.020

zbMATH Keywords

Laplace transform; integro-differential equation; compound Poisson risk model; dividend payments; optimal dividend barrier

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G30: Interest rates, asset pricing, etc. (stochastic models)

Related Items

Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves, Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model, Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income, The exit time and the dividend value function for one-dimensional diffusion processes, The absolute ruin insurance risk model with a threshold dividend strategy, On the generalized Gerber-Shiu function for surplus processes with interest

Cites Work

• Unnamed Item
• Methods for estimating the optimal dividend barrier and the probability of ruin
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• Optimal Dividend Strategy in the Compound Poisson Model with Constant Interest
• On the time value of absolute ruin with debit interest
• Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment