A threshold-based risk process with a waiting period to pay dividends

DOI10.3934/JIMO.2018005zbMath1412.60064OpenAlexW2790627493MaRDI QIDQ1717028

Ran Xu, Steve Drekic, Jae-Kyung Woo

Publication date: 5 February 2019

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2018005

zbMATH Keywords

ruin probabilitiesthreshold strategycompound binomial modeldividend paymentsdiscrete-time sparre Andersen renewal risk processParisian-type modelwaiting period

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Renewal theory (60K05)

Related Items (3)

Optimal dividend strategy under Parisian ruin with affine penalty ⋮ Modeling and asymptotic analysis of insurance company performance ⋮ On the dual risk model with Parisian implementation delays under a mixed dividend strategy

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