On the compound Poisson risk model with dependence and a threshold dividend strategy

DOI10.1016/j.spl.2013.05.008zbMath1283.91089MaRDI QIDQ2637365

Chun-sheng Zhang, Peng Liu, Yafeng Shi

Publication date: 11 February 2014

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

Full work available at URL: https://doi.org/10.1016/j.spl.2013.05.008

zbMATH Keywords

integro-differential equation; Gerber-Shiu function; threshold strategy; compound Poisson risk model; Farlie-Gumbel-Morgenstern copula; expected discounted dividend payments

Mathematics Subject Classification ID

62H05: Characterization and structure theory for multivariate probability distributions; copulas

60K10: Applications of renewal theory (reliability, demand theory, etc.)

Related Items

Ruin under stochastic dependence between premium and claim arrivals, Unnamed Item, A dependent insurance risk model with surrender and investment under the thinning process, The risk model with stochastic premiums, dependence and a threshold dividend strategy, Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy, The risk model with stochastic premiums and a multi-layer dividend strategy, On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy

Cites Work

• Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
• A ruin model with dependence between claim sizes and claim intervals
• Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy
• Constant dividend barrier in a risk model with interclaim-dependent claim sizes
• A renewal jump-diffusion process with threshold dividend strategy
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• On a class of renewal risk models with a constant dividend barrier
• The compound Poisson risk model with a threshold dividend strategy
• Analysis of ruin measures for the classical compound Poisson risk model with dependence
• On a risk model with dependence between interclaim arrivals and claim sizes
• On Optimal Dividend Strategies In The Compound Poisson Model