A renewal jump-diffusion process with threshold dividend strategy

DOI10.1016/J.CAM.2008.08.046zbMATH Open1166.60053OpenAlexW2047879951MaRDI QIDQ1019768FDOQ1019768

Authors: J. Martínez 

Publication date: 28 May 2009

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2008.08.046

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zbMATH Keywords

phase-type distributionfluid flowmatrix equationMarkov

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Cites Work

• Title not available (Why is that?)
• Stationary distributions for fluid flow models with or without brownian noise
• The Time Value of Ruin in a Sparre Andersen Model
• Passage times in fluid models with application to risk processes
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• On the discounted penalty function in the renewal risk model with general interclaim times
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• Ruin probabilities for Erlang (2) risk processes
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• On the analysis of a multi-threshold Markovian risk model
• Phase-type representations in random walk and queueing problems
• The perturbed Sparre Andersen model with a threshold dividend strategy
• On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
• The expectation of aggregate discounted dividends for a Sparre Anderson risk process perturbed by diffusion

Cited In (7)

• On the threshold dividend strategy for a generalized jump-diffusion risk model
• Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions
• On an insurance ruin model with a causal dependence structure and perturbation
• The risk model with stochastic premiums, dependence and a threshold dividend strategy
• The risk model with stochastic premiums and a multi-layer dividend strategy
• Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process
• On the compound Poisson risk model with dependence and a threshold dividend strategy

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