A process with stochastic claim frequency and a linear dividend barrier

DOI10.1016/S0167-6687(98)00037-7MaRDI QIDQ1293811zbMATH OpenFDO

Authors Thomas Siegl, Robert F. Tichy

Publication date 26 September 2000

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-6687(98)00037-7

zbMATH Keywords

linear dividend barrierPoisson processrisk processstochastic claim frequencystorm damage insurancesurvival probability

Mathematics Subject Classification ID

Renewal theory (60K05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Review text

The authors consider a risk model with stochastic parameters and a linear dividend barrier. After an exponentially distributed time the parameters may change to a different setting and, similarly, they can change back again. By explicitly solving systems of partial integro-differential equations in case of gamma distributed claims, solutions are given for determining the probability of survival, the expectation of the dividends, and the probability of reaching the barrier before ruin.

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Cites work

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• scientific article; zbMATH DE number 4086836 (Why is no real title available?)
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• scientific article; zbMATH DE number 962269 (Why is no real title available?)
• On the probability of ruin in the presence of a linear dividend barrier
• Risk theory in a Markovian environment
• The Wiener process with drift between a linear retaining and an absorbing barrier

Cited in

(14)

• Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• The expected discounted penalty function in the generalized Erlang(n) risk model with two-sided jumps and a constant dividend barrier
• The compound Pascal model with dividends paid under random interest
• Review of statistical actuarial risk modelling
• Strategies for dividend distribution: a review
• On the dividends of the risk model with Markovian barrier
• The Erlang(n) risk model with two-sided jumps and a constant dividend barrier
• Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
• Optimal Dividends
• Cramér–Lundberg asymptotics for spectrally positive Markov additive processes
• Some results behind dividend problems
• Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE

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