On the Gerber-Shiu function for a risk model with multi-layer dividend strategy

DOI10.1016/J.SPL.2011.11.002MaRDI QIDQ419158zbMATH OpenOpenAlexFDO

Authors Mykola Bratiichuk

Publication date 18 May 2012

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

Full work available at URL https://doi.org/10.1016/j.spl.2011.11.002

zbMATH Keywords

ruin probabilityGerber-Shiu functionrisk processboundary functionals

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cites work

• Boundary Problems for a Compound Poisson Process
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
• Method of Potential in Boundary Problems for Processes with Independent Increases and Jumps of the Same Sign
• On Ruin Problems for a Compound Poisson Process
• On the Time Value of Ruin
• The perturbed compound Poisson risk model with multi-layer dividend strategy

Cited in

(12)

• The discounted penalty function with multi-layer dividend strategy in the phase-type risk model
• The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
• Markov-dependent risk model with multi-layer dividend strategy
• The Gerber-Shiu discounted penalty function for the bi-seasonal discrete time risk model
• The Gerber-Shiu penalty functions for a perturbed risk model with two classes of risks and a threshold dividend strategy
• The Gerber-Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy
• The risk model with stochastic premiums and a multi-layer dividend strategy
• A risk model with multilayer dividend strategy
• scientific article; zbMATH DE number 5671410 (Why is no real title available?)
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims
• Authors' reply: ``A risk model with multilayer dividend strategy -- discussion by Cheung; Ramin Okhrati

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