A renewal jump-diffusion process with threshold dividend strategy

DOI10.1016/J.CAM.2008.08.046zbMath1166.60053OpenAlexW2047879951MaRDI QIDQ1019768

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

zbMATH Keywords

phase-type distributionmatrix equationfluid flowMarkov

Mathematics Subject Classification ID

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

Related Items (5)

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

Cites Work

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• On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
• Phase-type representations in random walk and queueing problems
• Ruin probabilities for Erlang (2) risk processes
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• The expectation of aggregate discounted dividends for a Sparre Anderson risk process perturbed by diffusion
• On the analysis of a multi-threshold Markovian risk model
• Stationary distributions for fluid flow models with or without brownian noise
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• The Time Value of Ruin in a Sparre Andersen Model

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